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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...
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Chen Chen, Weidong Zhou and Lina Gao
A suitable jump Markov system (JMS) filtering approach provides an efficient technique for tracking surface targets. In complex surface target tracking situations, due to the joint influences of lost measurements with an unknown probability and heavy-tai...
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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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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 ...
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Hatice Erkekoglu,Aweng Peter Majok Garang,Adire Simon Deng
Pág. 268 - 281
Symmetric and asymmetric GARCH models-GARCH (1,1); PARCH(1;1); EGARCH(1,1,); TARCH(1,1) and IGARCH(1,1)- were used to examine stylized facts of daily USD/UGX return series from September 1st, 2005 to August 30th, 2018. Modeling and forecasting were perfo...
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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...
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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...
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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...
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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...
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Kamal Ahmed,Shamsuddin Shahid,Tarmizi Ismail,Nadeem Nawaz,Xiao-jun Wang
Pág. 301 - 316
Homogeneity evaluations are usually performed on the total annual precipitation data, which often fails to detect non-homogeneity in seasonal precipitation. Furthermore, it is required to assess homogeneity using multiple methods as the performance of ho...
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