Results 171 to 180 of about 1,263,567 (386)

Applications of fractional stochastic volatility models to market microstructure theory and optimal execution strategies

Frontiers in Applied Mathematics and Statistics
In this paper, we explore the applications of fractional stochastic volatility (FSV) models within the realm of market microstructure theory and optimal execution strategies. FSV models extend traditional stochastic volatility frameworks by incorporating
Abe Webb
doaj   +1 more source

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

Inference for stochastic volatility model using time change transformations [PDF]

We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through transformations that operate
Dellaportas, Petros, Kalogeropoulos, Konstantinos, Roberts, Gareth O.   +2 more
core   +1 more source

ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS [PDF]

, 2001
Rohit Deo, Clifford M. Hurvich
openalex   +1 more source

Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension

Econometrics
This study introduces a multivariate extension to the class of stochastic volatility models, employing integrated nested Laplace approximations (INLA) for estimation. Bayesian methods for estimating stochastic volatility models through Markov Chain Monte
João Pedro Coli de Souza Monteneri Nacinben, Márcio Laurini   +1 more
doaj   +1 more source

Does a Specialized Niche Market Vegetable Processor Enjoy Bargaining Power?

Agribusiness, EarlyView.
ABSTRACT Agribusiness companies may achieve competitive advantage through specialization within niche markets. One such niche is the fresh‐cut fruit and vegetable market, which has been steadily growing in Germany. This study examines whether the specialization of a German fresh‐cut producer grants it with market power within this niche market.
Nikolas Bublik, Franziska Mittag, Laura Hellstern, Sebastian Hess   +3 more
wiley   +1 more source

Existence of solutions of some boundary value problems with stochastic volatility. [PDF]

Heliyon, 2020
Osu BO, Eze EO, Obasi UE, Ukomah HI.
europepmc   +1 more source

The stochastic volatility in mean model: empirical evidence from international stock markets [PDF]

, 2002
Siem Jan Koopman, Eugenie Hol Uspensky
openalex   +1 more source

ICA and stochastic volatility models

, 2016
PLENARY ...
Taskinen Sara, Oja Hannu, Nordhausen Klaus, Matilainen Markus, Miettinen Jari   +4 more
openaire   +4 more sources

Ionic‐Electronic Coupling Modulation Induced by Nanofibrous Phase Separation for Synaptic Organic Electrochemical Transistors

Aggregate, EarlyView.
Nanofibrous phase separationengineered polymer blends enable ionic‐electronic coupling modulation in organic electrochemical transistors. The resulting synaptic devices exhibit multiscale plasticity, stochastic weight updating, and robust classification performance, offering a scalable material strategy toward hardware‐based neuromorphic computing ...
Canghao Xu, Lin Gao, Yujie Peng, Changjian Liu, Ding Zheng, Junsheng Yu   +5 more
wiley   +1 more source