Results 111 to 120 of about 1,246,337 (384)
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
Protected Chaos in a Topological Lattice
Advanced Science, EarlyView.Topological and chaotic dynamics are often considered incompatible, with one expected to dominate or disrupt the other. This work reveals that topological localization can persist even under strong chaotic dynamics and, counter‐intuitively, protect chaotic behavior.
Haydar Sahin +6 more
wiley +1 more source
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
, 2016 Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this paper, the importance of seasonal behavior in the volatility for the pricing of commodity options is analyzed. We propose a seasonally
J. Arismendi +4 more
semanticscholar +1 more source
Advanced Science, EarlyView.Through the strategic incorporation of functionalized silane coupling agents within the electrolytic matrix, a pioneering methodology is demonstrated that facilitates the formation of molecular bridges across the organic/inorganic heterogeneous interface.
Minghui Li +7 more
wiley +1 more source
RETRACTED: Artificial intelligence for emergency medical care
Health Care Science, EarlyView., 2023 ‘Applications of artificial intelligence in emergency medical service’. Abstract There is increasing research into the potential benefits of incorporating artificial intelligence (AI) and machine learning algorithms into emergency medical services. AI is finding new applications across a wide range of sectors, one of which is healthcare, where it is ...
Shivam Rajput +2 more
wiley +1 more source
Asymptotic Analysis for One-Name Credit Derivatives
Abstract and Applied Analysis, 2013 We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options. We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of
Yong-Ki Ma, Beom Jin Kim
doaj +1 more source
A Bayesian analysis based on multivariate stochastic volatility model: evidence from green stocks. [PDF]
J Comb Optim, 2023 Ma M, Zhang J.
europepmc +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 +3 more
core +1 more source
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
, 2020 We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is natural in foreign
Ogetbil, Orcan
core
Advanced Science, EarlyView.The electrophoretic reorganization of Ag nanoparticles within a poly(ethylene glycol) leads to the formation of conductive bridges with reconfigurable resistance states. Diverse conduction characteristics of the bridge range between ohmic conduction, nonlinear tunneling, or space charge‐limited conduction, and high resistance states.
Daniil Nikitin +19 more
wiley +1 more source