Results 151 to 160 of about 129,146 (344)

Vanilla Option Pricing on Stochastic Volatility market models [PDF]

We want to discuss the option pricing on stochastic volatility market models, in which we are going to consider a generic function β (νt ) for the drift of volatility process.
Dell'Era, Mario
core   +1 more source

Emerging Memory and Device Technologies for Hardware‐Accelerated Model Training and Inference

Advanced Electronic Materials, EarlyView.
This review investigates the suitability of various emerging memory technologies as compute‐in‐memory hardware for artificial intelligence (AI) applications. Distinct requirements for training‐ and inference‐centric computing are discussed, spanning device physics, materials, and system integration.
Yoonho Cho, Dae‐won Kim, Yujin Kimh, Jung‐Heum Na, Yuwon Jeong, Dong‐Yeop Lee, Shinhyun Choi   +6 more
wiley   +1 more source

Skew selection for factor stochastic volatility models. [PDF]

J Appl Stat, 2020
Nakajima J.
europepmc   +1 more source

"Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors" [PDF]

An efficient Bayesian estimation using a Markov chain Monte Carlo method is proposed in the case of a multivariate stochastic volatility model as a natural extension of the univariate stochastic volatility model with leverage and heavy-tailed errors ...
Tsunehiro Ishihara, Yasuhiro Omori
core  

Probabilistic Modeling for Prediction Errors to Enhance Balancing Market Participation of Photovoltaic Systems: Error Threshold Estimation, Multisite Aggregation, and Overloading Effects

Advanced Energy and Sustainability Research, EarlyView.
This study proposes a method to increase the value of solar power in balancing markets by managing prediction errors. The approach models prediction uncertainties and quantifies reserve requirements based on a probabilistic model. This enables the more reliable participation of photovoltaic plants in balancing markets across multiple sites, especially ...
Jindan Cui, Xue Fang, Takashi Oozeki, Yuzuru Ueda   +3 more
wiley   +1 more source

A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. [PDF]

J Forecast, 2020
Huber F, Pfarrhofer M, Piribauer P.
europepmc   +1 more source

Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing

, 2013
Philip Messow
openalex   +1 more source

Efficiency and Technology Gap in European Apple Production—A Metafrontier Model for Germany, Italy, and Poland

Agribusiness, EarlyView.
ABSTRACT EU member states have exhibited varying rates of apple production growth. Technical efficiency (TE) estimation is suitable for identifying best‐practice farm performance. This study examined whether the development of the apple sector in Germany, Italy, and Poland was influenced by production efficiency, access to technology, as well as ...
Anika Muder, Jakub Staniszewski
wiley   +1 more source

Integrated OU Processes [PDF]

In this paper we study the detailed distributional properties of integrated non-Gaussian OU (intOU) processes. Both exact results and approximate results are given. We emphasise the study of the tail behaviour of the intOU process.
Neil Shephard, Ole E. Barndorff-Nielsen
core  

Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

, 2018
Ben Hambly, Nikolaos Kolliopoulos
openalex   +2 more sources