Results 141 to 150 of about 1,246,337 (384)

Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility

, 2015
We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and deviance information criterion (DIC) for TVP-VARs with stochastic volatility.
J. Chan, Eric Eisenstat
semanticscholar   +1 more source

A Complete Stochastic Volatility Model in the HJM Framework [PDF]

This paper considers a stochastic volatility version of the Heath, Jarrow and Morton (1992) term structure model. Market completeness is obtained by adapting the Hobson and Rogers (1998) complete stochastic volatility stock market model to the interest ...
Carl Chiarella, Oh-Kang Kwon
core  

Quantized Conductance and Multilevel Memory Operation in Mn3O4 Nanowire Network Devices Combined with Low Voltage Operation and Oxygen Vacancy Induced Resistive Switching

Advanced Electronic Materials, EarlyView.
Quantum conductance via Mn3O4 nanowire network based memristive devices are established. Extremely consistent resistive switching with low operating voltage is established. High temperature stability and longevity is shown by such nanowire network‐based devices is an attractive option for device applications.
Keval Hadiyal, Ramakrishnan Ganesan, R. Thamankar   +2 more
wiley   +1 more source

A Stochastic Dynamic Programming Approach Based on Bounded Rationality and Application to Dynamic Portfolio Choice

Discrete Dynamics in Nature and Society, 2014
Dynamic portfolio choice is an important problem in finance, but the optimal strategy analysis is difficult when considering multiple stochastic volatility variables such as the stock price, interest rate, and income.
Wenjie Bi, Liuqing Tian, Haiying Liu, Xiaohong Chen   +3 more
doaj   +1 more source

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

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

Microscopic Origin of Non-Gaussian Distributions of Financial Returns

, 2007
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments.
Black, Borland, Borland, Dragulescu, Eisler, Eisler, Gopikrishnan, Heston, Heston, Hull, Hull, Mantegna, Mantegna, Miccichè, Osborne, Osborne, Plerou, R. Rosenfeld, Remer, Silva, Silva, T.S. Biró, Taqqu, Tsallis, Vicente   +24 more
core   +3 more sources

BVARs and stochastic volatility

Bayesian vector autoregressions (BVARs) are the workhorse in macroeconomic forecasting. Research in the last decade has established the importance of allowing time-varying volatility to capture both secular and cyclical variations in macroeconomic uncertainty.
openaire   +2 more sources

Supply chain risk in grain trading: Inventories as real options for shipping grain

Agribusiness, EarlyView.
Abstract Integrating trading and logistics is an important challenge in commodity trading. Trading and logistics are strategic decisions and are integral to most commodities including grain shipping by rail, in addition to other modes (barges, ocean shipping). There are substantial risks, such as the ordering and placement of rail cars.
William W. Wilson, Jesse Klebe
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