Results 91 to 100 of about 1,263,567 (386)

"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio" [PDF]

In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990).
Racicot, François-Éric, Théoret, Raymond   +1 more
core   +4 more sources

Frequency Switching Neuristor for Realizing Intrinsic Plasticity and Enabling Robust Neuromorphic Computing

Advanced Materials, EarlyView.
A frequency switching (FS) neuristor is proposed, comprising a Mott memristor and a valence change mechanism (VCM) memristor. The FS neuristor exhibits a multi‐level frequency–voltage (f–V) characteristics, enabling the implementation of neuronal intrinsic plasticity transfer functions.
Woojoon Park, Hanchan Song, Eun Young Kim, Moon Gu Choi, Min Gu Lee, Hakseung Rhee, Gwangmin Kim, Taewook Go, Alba Martinez, Daehee Kim, Junmo Kang, Jae Hyun In, Kyung Min Kim   +12 more
wiley   +1 more source

Super-replication in stochastic volatility models under portfolio constraints [PDF]

, 1999
Jakša Cvitanić, Huyên Pham, Nizar Touzi   +2 more
openalex   +2 more sources

Forecasting volatility: does continuous time do better than discrete time? [PDF]

In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model.
Carles Bretó, Helena Veiga
core  

Bioinspired Adaptive Sensors: A Review on Current Developments in Theory and Application

Advanced Materials, EarlyView.
This review comprehensively summarizes the recent progress in the design and fabrication of sensory‐adaptation‐inspired devices and highlights their valuable applications in electronic skin, wearable electronics, and machine vision. The existing challenges and future directions are addressed in aspects such as device performance optimization ...
Guodong Gong, You Zhou, Qingxiu Li, Wenyu Zhao, Sunyingyue Geng, Hangfei Li, Yan‐Bing Leng, Shirui Zhu, Guanglong Ding, Yongbiao Zhai, Ziyu Lv, Ye Zhou, Su‐Ting Han   +12 more
wiley   +1 more source

A Neural Stochastic Volatility Model

, 2018
In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time series analysis ...
Luo, Rui, Wang, Jun, Xu, Xiaojun, Zhang, Weinan   +3 more
core   +1 more source

Néel Tensor Torque in Polycrystalline Antiferromagnets

Advanced Materials, EarlyView.
This work introduces a Néel tensor torque based on a rank‐two symmetric tensor capturing spin correlations in a polycrystalline antiferromagnet. It shows the Néel tensor can be shaped and reshaped through the spin‐orbit torque (SOT) technique, enabling field‐free SOT switching with a specific polarity of the adjacent ferromagnet. This discovery opens a
Chao‐Yao Yang, Sheng‐Huai Chen, Chih‐Hsiang Tseng, Hsiu‐Hau Lin, Chih‐Huang Lai   +4 more
wiley   +1 more source

Estimation of integrated volatility of volatility with applications to goodness-of-fit testing

, 2015
In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on increments of spot ...
Vetter, Mathias
core   +1 more source

Spatially‐Controlled Planar Guided Crystallization of Low‐Loss Phase Change Materials for Programmable Photonics

Advanced Materials, EarlyView.
The concept of spatially‐controlled planar guided crystallization is a novel method for programming the growth of optically homogeneous low‐loss Sb2S3 phase‐change material (PCM), leveraging the directional crystallization within confined channels.
Fouad Bentata, Arnaud Taute, Capucine Laprais, Régis Orobtchouk, Eva Kempf, Alban Gassenq, Yves Pipon, Michele Calvo, Valérie Martinez, Stéphane Monfray, Guillaume Saint‐Girons, Nicolas Baboux, Hai Son Nguyen, Xavier Letartre, Lotfi Berguiga, Patrice Genevet, Sébastien Cueff   +16 more
wiley   +1 more source

Minimizing the Probability of Lifetime Ruin under Stochastic Volatility

, 2011
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility.
Bayraktar, Erhan, Hu, Xueying, Young, Virginia R.   +2 more
core   +1 more source