Results 151 to 160 of about 1,263,567 (386)

Probability distribution of returns in the Heston model with stochastic volatility [PDF]

, 2002
Adrian A. Drǎgulescu, Victor M. Yakovenko   +1 more
openalex   +3 more sources

Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering

Ekonometria
Aim: 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  

Temperature Thresholds Govern Microbial‐Mediated Dissolved Organic Carbon Dynamics in Coastal Ecosystems

Advanced Science, EarlyView.
Coastal dissolved organic carbon (DOC) represents one of the largest reduced carbon pools on Earth, and they are influenced by temperature. Across 7.6–35.9 °C ranges, the microbial‐mediated DOC dynamics is characterized by three temperature thresholds.
Junfu Dong, Xiao Chen, Fangshuai Chen, Zhenzhen Hu, Qichao Tu, Gang Li, Chen He, Quan Shi, Qiang Zheng, Feng Chen, Tuo Shi, Nianzhi Jiao, Jihua Liu   +12 more
wiley   +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   +3 more sources

BUGS for a Bayesian analysis of stochastic volatility models [PDF]

, 2000
Renate Meyer, Jun Yu
openalex   +1 more source

Multi‐Level Optical Physical Unclonable Function Based on Random Surface Scattering for Hierarchical Cryptographic Protocols

Advanced Science, EarlyView.
This study proposed physical unclonable function based multi‐level key space generation scheme. By exploiting speckle characteristic, a size‐controllable structure is achieved and that is suitable foundation for multiple key extraction. The flexible key space supports various specifications for advanced applications, such as hierarchical authentication
Jeong Jin Kim, Min Seong Kim, Gil Ju Lee
wiley   +1 more source

Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation [PDF]

We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a general setting for valuing risky debt in the light of systematic risk and idiosyncratic risk, which are known to affect each risky ...
Gatfaoui Hayette
core  

Stochastic volatility models: conditional normality versus heavy-tailed distributions [PDF]

, 2000
Roman Liesenfeld, Robert C. Jung
openalex   +1 more source

On the Optimal Choice of Strike Conventions in Exchange Option Pricing

Mathematics
An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives.
Elisa Alòs, Michael Coulon
doaj   +1 more source

All Organic Fully Integrated Neuromorphic Crossbar Array

Advanced Electronic Materials, EarlyView.
In this work, the first fully integrated crossbar array of electrochemical random‐access memory (ECRAM) that is composed entirely of organic materials is represented. This array can perform inference and in situ parallel training and is capable of classifying linearly separable 2D and 3D classification tasks with high accuracy.
Setareh Kazemzadeh, Tim Stevens, Yoeri van de Burgt   +2 more
wiley   +1 more source