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Shigang Qin and Deshun Liu
The stochastic fluctuations of wind speed and wind power curve modeling are complex tasks due to fluctuations in the difference between actual and theoretical power output, leading to a reduction in the accuracy of wind-power curve models. To address thi...
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Zdenek Zme?kal, Dana Dluho?ová, Karolina Lisztwanová, Antonín Poncík and Iveta Ratmanová
The paper is focused on predicting the financial performance of a small open economy with an automotive industry with an above-standard share. The paper aims to predict the probability distribution of the decomposed relative economic value-added measure ...
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Kejing Zhao, Jinliang Zhang and Qing Liu
The reasonable pricing of options can effectively help investors avoid risks and obtain benefits, which plays a very important role in the stability of the financial market. The traditional single option pricing model often fails to meet the ideal expect...
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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
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Wilson Tsakane Mongwe, Rendani Mbuvha and Tshilidzi Marwala
Markov chain Monte Carlo (MCMC) techniques are usually used to infer model parameters when closed-form inference is not feasible, with one of the simplest MCMC methods being the random walk Metropolis?Hastings (MH) algorithm. The MH algorithm suffers fro...
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Ramzi Nekhili and Jahangir Sultan
This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at-Ris...
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Omar Abbara,Mauricio Zevallos
Pág. 22 - 32
The paper assesses the method proposed by Shumway and Stoffer (2006, Chapter 6, Section 10) to estimate the parameters and volatility of stochastic volatility models. First, the paper presents a Monte Carlo evaluation of the parameter estimates consideri...
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Chong Sun and Qin Sheng
This paper studies an effective finite difference scheme for solving two-dimensional Heston stochastic volatility option-pricing model problems. A dynamically balanced up-downwind strategy for approximating the cross-derivative is implemented and analyze...
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Laura Camila Roldán Martínez
Pág. 166 - 189
AbstractDownloadsReferencesHow to Cite
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Xie He, Xiao-Jing Cai and Shigeyuki Hamori
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