Results 291 to 300 of about 129,146 (344)

A Quasi-Monte Carlo Method Based on Neural Autoregressive Flow. [PDF]

Entropy (Basel)
Wei Y, Xi W.
europepmc   +1 more source

Neural Dynamics of Social Cognition: A Single-Trial Computational Analysis of Learning Under Uncertainty. [PDF]

Hum Brain Mapp
Charlton CE, Hauke DJ, Litvak V, Wobmann M, de Bock R, Andreou C, Borgwardt S, Roth V, Diaconescu AO.   +8 more
europepmc   +1 more source

Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance

Salvagnin C, Tatto Vd, De Giuli ME, Mira A, Glielmo A.   +4 more
europepmc   +1 more source

Stochastic Volatility [PDF]

SSRN Electronic Journal, 2008
Given the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real-time estimates and forecasts of current and future volatility have been extensive. The main framework used in this context involves stochastic volatility models.
Torben G. Andersen, Luca Benzoni
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Stochastic volatility demand systems [PDF]

Econometric Reviews, 2015
We address the estimation of stochastic volatility demand systems. In particular, we relax the homoscedasticity assumption and instead assume that the covariance matrix of the errors of demand systems is time-varying. Since most economic and financial time series are nonlinear, we achieve superior modeling using parametric nonlinear demand systems in ...
Apostolos Serletis, Maksim Isakin
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STOCHASTIC VOLATILITY

International Journal of Theoretical and Applied Finance, 2002
Hull and White [1] have priced a European call option for the case in which the volatility of the underlying asset is a lognormally distributed random variable. They have obtained their formula under the assumption of uncorrelated innovations in security price and volatility.
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Discrete Stochastic Autoregressive Volatility

SSRN Electronic Journal, 2013
Abstract We use Markov chain methods to develop a flexible class of discrete stochastic autoregressive volatility (DSARV) models. Our approach to formulating the models is straightforward, and readily accommodates features such as volatility asymmetry and time-varying volatility persistence.
Adriana S. Cordis, Chris Kirby
openaire   +1 more source