Results 151 to 160 of about 1,246,337 (384)

A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model. [PDF]

Entropy (Basel), 2021
Lenart Ł, Pajor A, Kwiatkowski Ł.
europepmc   +1 more source

Large Vector Autoregressions with Stochastic Volatility and Flexible Priors

, 2016
Recent research has shown that a reliable vector autoregressive model (VAR) for forecasting and structural analysis of macroeconomic data requires a large set of variables and modeling time variation in their volatilities.
Andrea Carriero, Todd E. Clark, Massimiliano Marcellino   +2 more
semanticscholar   +1 more source

Estimating Correlated Jumps and Stochastic Volatilities [PDF]

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model’s parameters and latent state variables (jumps and stochastic ...
Jiří Witzany
core   +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

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  

A Stochastic Volatility Lattice

IFAC Proceedings Volumes, 1998
Abstract Stochastic volatility models model asset dynamics by a bivariate diffusion process. For practical calculation of prices of financial derivatives lattice models are necessary. In this paper we present a procedure to construct discrete process approximations converging to such ...
openaire   +2 more sources

Testing the Marketing Performance of German Wheat Farmers

Agribusiness, EarlyView.
ABSTRACT This paper analyses the marketing performance of wheat farmers in Germany. Wheat sales data from 465 individual farms over a 12‐year period are used to test against different market benchmarks. Market benchmarks are constructed by simulating passive trading agents using regional wheat prices.
Franziska Potts, Jens‐Peter Loy
wiley   +1 more source

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  

Stochastic Volatility Models as Hidden Markov Models and Statistical Applications [PDF]

, 2000
Valentine Genon-Catalot, Thierry Jeantheau, Catherine Larédo, Catherine Laredo   +3 more
openalex   +1 more source

Designing Memristive Materials for Artificial Dynamic Intelligence

Advanced Intelligent Discovery, EarlyView.
Key characteristics required of memristors for realizing next‐generation computing, along with modeling approaches employed to analyze their underlying mechanisms. These modeling techniques span from the atomic scale to the array scale and cover temporal scales ranging from picoseconds to microseconds. Hardware architectures inspired by neural networks
Youngmin Kim, Ho Won Jang
wiley   +1 more source