|
|
|
|
|
Shaoyang Men, Pascal Chargé and Zhe Fu
Dynamic spectrum detection has attracted increasing interest in drone or drone controller detection problems. Spectrum sensing as a promising solution allows us to provide a dynamic spectrum map within the target frequency band by estimating the occupied...
ver más
|
|
|
|
|
|
|
|
|
|
|
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...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yuexuan Zhao and Jing Huang
Graph variational auto-encoder (GVAE) is a model that combines neural networks and Bayes methods, capable of deeper exploring the influential latent features of graph reconstruction. However, several pieces of research based on GVAE employ a plain prior ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
ver más
|
|
|
|
|
|
|
|
|
|
|
Bridget Nkemnole,Olaide Abass
AbstractOrientation: Geometric Brownian motion (GBM) model basically suggests whether the distribution of asset returns is normal or lognormal. However, many empirical studies have revealed that return distributions are usually not normal. These stu...
ver más
|
|
|
|
|
|
|
|
|
|
|
Tafirei Mashamba,Rabson Magweva
AbstractOrientation: The behaviour of stock market return volatility and implications thereof in Southern African Development Committee (SADC).Research purpose: The main aim of this study was to examine leverage effects and volatility persisten...
ver más
|
|
|
|
|
|
|
|
|
|
|
Onder Buberkoku
Pág. 36 - 50
This study examines the out-of-sample value-at-risk forecasting performance of the GARCH, FIGARCH, HYGARCH and FIAPARCH models for West Texas intermediate crude oil, Europe Brent crude oil, heating oil#2, propane and New York Harbour Conventional Gasolin...
ver más
|
|
|
|
|
|
|
|
|
|
|
Simone Kruse, Thomas Tischer, Timo Wittig
The global platinum market has been in downturn and unstable for five consecutive years, and thus market participants are demanding effective quantitative risk management tools. Since platinum is so widely used and serves as an important investment vehic...
ver más
|
|
|
|
|
|
|
|
|
|
|
Sandra Cristina de Oliveira, Marinho Gomes de Andrade
Pág. 339 - 347
Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student?s t distributions for the conditional distribution of the return series. A non-informative prior distribution was adopted and...
ver más
|
|
|
|
|
|