Results 121 to 130 of about 204,882 (322)

Dynamic shrinkage in time-varying parameter stochastic volatility in mean models. [PDF]

J Appl Econ (Chichester Engl), 2021
Huber F, Pfarrhofer M.
europepmc   +1 more source

EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments [PDF]

, 1997
Pieter Jelle van der Sluis
openalex   +1 more source

Bias‐Independent True Random Number Generator Circuit using Memristor Noise Signals as Entropy Source

Advanced Intelligent Systems, EarlyView.
Random telegraph noise (RTN) characteristics of memristor depend on external environmental conditions. To avoid these bias‐dependent characteristics, a true random number generator circuit using the RTN current fluctuations of memristor is presented with an edge detection circuit and counter, and bias independence is experimentally demonstrated for ...
Jinwoo Park, Hyunjoong Kim, Hyungjin Kim
wiley   +1 more source

Pricing vanilla, barrier, and lookback options under two-scale stochastic volatility driven by two approximate fractional Brownian motions

AIMS Mathematics
In this paper, we proposed a stochastic volatility model in which the volatility was given by stochastic processes representing two characteristic time scales of variation driven by approximate fractional Brownian motions with two Hurst exponents.
Min-Ku Lee, Jeong-Hoon Kim
doaj   +1 more source

Modelling Asymmetric Dependence in Stochastic Volatility and Option Pricing: A Conditional Copula Approach

Scientific African, 2023
In this paper, stochastic volatility models with asymmetric dependence were presented and applied to pricing options. A dynamic conditional copula approach was proposed to capture this dependence asymmetry.
Brian Wesley Muganda, Ioannis Kyriakou, Bernard Shibwabo Kasamani   +2 more
doaj  

Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists [PDF]

arXiv, 2019
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets randomly and the resulting news sentiment behaves like a stochastic process.
arxiv  

Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19. [PDF]

J Appl Stat, 2023
Poonvoralak W.
europepmc   +1 more source

Stochastic Volatility with Reset at Jumps [PDF]

, 1998
Jun Pan
openalex   +1 more source

Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model [PDF]

In this paper, we develop and apply Bayesian inference for an extended Nelson- Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the ...
Fuyu Yang, Nikolaus Hautsch
core  

Stateful Full Adder Using Silicon Diodes

Advanced Intelligent Systems, EarlyView.
This simulation study presents stateful full adders comprising silicon p+–n–p–n+ diodes. The switching and bistable memory characteristics of the diodes enable full adder and bidirectional logic operation. An N‐bit full adder can be realized in a crossbar array using 9N + 1 diodes and 6 + 5N logic steps.
Jaemin Son, Juhee Jeon, Kyoungah Cho, Sangsig Kim   +3 more
wiley   +1 more source