Results 111 to 120 of about 278,525 (306)

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

Journal of Forecasting, EarlyView.
ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann, Mawuli Segnon, Timo Wiedemann   +2 more
wiley   +1 more source

Qualitative financial modelling in fractal dimensions

Financial Innovation
The Black–Scholes equation is one of the most important partial differential equations governing the value of financial derivatives in financial markets. The Black–Scholes model for pricing stock options has been applied to various payoff structures, and
Rami Ahmad El-Nabulsi, Waranont Anukool
doaj   +1 more source

An estimated DSGE model for the United Kingdom [PDF]

We estimate the dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) on United Kingdom data. Our estimates suggest that price stickiness is a more important source of nominal rigidity in the U.K.
Edward Nelson, Riccardo DiCecio
core  

Coherent Forecasting of Realized Volatility

Journal of Forecasting, EarlyView.
ABSTRACT The QLIKE loss function is the stylized favorite of the literature on volatility forecasting when it comes to out‐of‐sample evaluation and the state of the art model for realized volatility (RV) forecasting is the HAR model, which minimizes the squared error loss for in‐sample estimation of the parameters.
Marius Puke, Karsten Schweikert
wiley   +1 more source

An Autoregressive Moving Average Model for Time Series with Irregular Time Intervals

Computer Sciences & Mathematics Forum
This research focuses on the study of stochastic processes with irregularly spaced time intervals, which is present in a wide range of fields such as climatology, astronomy, medicine, and economics.
Diana Alejandra Godoy Pulecio, César Andrés Ojeda Echeverri   +1 more
doaj   +1 more source

Demand for imports in Venezuela : a structural time series approach [PDF]

Using structural time series models, Cuevas estimates common stochastic trends of real GDP and imports in Venezuela from 1974-2000. The real imports trend drifts upward at almost twice the rate of growth of GDP.
Cuevas, Mario A.
core  

Electricity Price Prediction Using Multikernel Gaussian Process Regression Combined With Kernel‐Based Support Vector Regression

Journal of Forecasting, EarlyView.
ABSTRACT This paper presents a new hybrid model for predicting German electricity prices. The algorithm is based on a combination of Gaussian process regression (GPR) and support vector regression (SVR). Although GPR is a competent model for learning stochastic patterns within data and for interpolation, its performance for out‐of‐sample data is not ...
Abhinav Das, Stephan Schlüter, Lorenz Schneider   +2 more
wiley   +1 more source

A Review of Power Grid Frameworks for Planning Under Uncertainty

Energies
Power-system planning is being reshaped by rapid decarbonisation, electrification, and digitalisation, which collectively amplify uncertainty in demand, generation, technology adoption, and policy pathways.
Tai Zhang, Stefan Borozan, Goran Strbac
doaj   +1 more source

A Note on The Moments of Stochastic Shrinkage Parameters in Ridge Regression [PDF]

A common problem in econometric models and multiple regression in general is multicollinearity, which produces undesirable effects on the Least Squares estimators.
Hernán Rubio, Luis Firinguetti
core  

Intraday Functional PCA Forecasting of Cryptocurrency Returns

Journal of Forecasting, EarlyView.
ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley   +1 more source