Results 121 to 130 of about 22,553 (296)
Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering
EkonometriaAim: The paper aims to propose a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on the iterated filtering algorithm (Ionides et al., 2006, 2015).
Piotr Szczepocki
doaj
Complexity, 2019 This paper presents an extension of double Heston stochastic volatility model by incorporating stochastic interest rates and derives explicit solutions for the prices of the continuously monitored fixed and floating strike geometric Asian options.
Yanhong Zhong, Guohe Deng
doaj +1 more source
Battery‐Inspired Electrochemical Synapses for Neuromorphic Applications
Advanced Science, EarlyView.Battery‐ion‐inspired synaptic devices integrate diverse electrolyte systems (solid, ion‐gel, liquid) with transition metal oxides, two‐dimensional materials, and organic channels to regulate ion‐electron coupling. By tailoring ion transport and host interactions, these platforms enable controllable plasticity and energy‐efficient implementations for ...
Won Woo Lee +6 more
wiley +1 more source
Broken Symmetry of Stock Returns—A Modified Jones–Faddy Skew t-Distribution
EconomiesWe argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses.
Siqi Shao +3 more
doaj +1 more source
Neuromorphic Devices and Computing for Sensing, Memory, and Control
Advanced Science, EarlyView.This review introduces neuromorphic devices made from diverse materials. These devices mimic neuronal functions and architectures and, when integrated with artificial or biological computing, can form closed loops with neurons for pressure, optical, acoustic, and biochemical sensing and modulation.
Zhengguang Zhu +2 more
wiley +1 more source
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison [PDF]
In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV) models can be easily performed via a freely available Bayesian software called WinBUGS.
Jun Yu, Renate Meyer
core
Advanced Science, EarlyView.In this work, we demonstrated a robust 2D MoS2 based iontronic memtransistor of planar architecture operated under the influence of an electrical double layer with versatile performance and applications, including pinched hysteresis nature of transfer curve, analogue channel conductance tuning, low‐voltage operation, logic‐gate operation, classical ...
Puranjay Saha +2 more
wiley +1 more source
Indirect inference for stochastic volatility models via the log-squared observations. [PDF]
Model; Models; Stochastic volatility; Volatility;
Dhaene, Geert
core
RRAM Variability Harvesting for CIM‐Integrated TRNG
Advanced Electronic Materials, EarlyView.This work demonstrates a compute‐in‐memory‐compatible true random number generator that harvests intrinsic cycle‐to‐cycle variability from a 1T1R RRAM array. Parallel entropy extraction enables high‐throughput bit generation without dedicated circuits. This approach achieves NIST‐compliant randomness and low per‐bit energy, offering a scalable hardware
Ankit Bende +4 more
wiley +1 more source
Power variation & stochastic volatility: a review and some new results [PDF]
In this paper we review some recent work on limit results on realised power variation, that is sums of powers of absolute increments of various semimartingales.
Svend Erik Graversen +2 more
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