Results 271 to 280 of about 129,146 (344)

Pricing of geometric Asian options in the Volterra-Heston model. [PDF]

Rev Deriv Res (Dordr)
Aichinger F, Desmettre S.
europepmc   +1 more source

Indirect Inference for Stochastic Volatility Models via the Log-Squared Observations

, 2004
Geert Dhaene, Geert Dhaene
openalex   +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]

, 1998
Pieter Jelle van der Sluis
openalex  

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

Journal of Forecasting, EarlyView.
ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann, Mawuli Segnon, Timo Wiedemann   +2 more
wiley   +1 more source

AI-Carbon-Energy: Spillover effects and drivers in interconnected markets. [PDF]

iScience
Zhang M, Pan Y, Su B, Zhou D.
europepmc   +1 more source

Coherent Forecasting of Realized Volatility

Journal of Forecasting, EarlyView.
ABSTRACT The QLIKE loss function is the stylized favorite of the literature on volatility forecasting when it comes to out‐of‐sample evaluation and the state of the art model for realized volatility (RV) forecasting is the HAR model, which minimizes the squared error loss for in‐sample estimation of the parameters.
Marius Puke, Karsten Schweikert
wiley   +1 more source

Dynamic decision-making and differential game analysis of ESG-constrained closed-loop supply chains under cap-and-trade regulation. [PDF]

Sci Rep
Lan H, Si X, Li X, Tang J.
europepmc   +1 more source

When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market

Journal of Futures Markets, EarlyView.
ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market ...
Filippo di Pietro, Antonio A. Golpe, Jose Carlos Vides   +2 more
wiley   +1 more source

Multi-objective stochastic model optimal operation of smart microgrids coalition with penetration renewable energy resources with demand responses. [PDF]

Sci Rep
Abdolahzadeh A, Hassannia A, Mousavizadeh F, Tolou Askari M.   +3 more
europepmc   +1 more source

Hedging Options under Transaction Costs and Stochastic Volatility

, 2003
Roy Kouwenberg, Jacek Gondzio, Ton Vorst
openalex   +1 more source