Search Results - subject:"Fourier transform"

Segregation of hourly electricity consumption: quantification of demand types using fourier transform

Yucekaya, Ahmet; Bilge, Ayse H.; Yukseltan, Ergun; … - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 1, pp. 384-396

Persistent link: https://www.econbiz.de/10015403993

Advantages of accounting for stochasticity in the premium process

Miao, Yang; Sendova, Kristina P. - In: Risks : open access journal 12 (2024) 10, pp. 1-25

can be identified. We then provide additional examples where we use the fast Fourier transform to obtain an approximation …

Persistent link: https://www.econbiz.de/10015130492

A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets

Benth, Fred Espen; Sgarra, Carlo - In: Finance and stochastics 28 (2024) 4, pp. 1035-1076

Persistent link: https://www.econbiz.de/10015130552

Value-at-risk under measurement error

Doukali, Mohamed; Song, Xiaojun; Taamouti, Abderrahim - In: Oxford bulletin of economics and statistics 86 (2024) 3, pp. 690-713

Persistent link: https://www.econbiz.de/10014543504

Forecast combination in the frequency domain

Faria, Gonçalo; Verona, Fabio - 2023

Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces...

Persistent link: https://www.econbiz.de/10013485890

Gaussian semiparametric estimation of two-dimensional intrinsically stationary

Yajima, Yoshihiro; Matsuda, Yassumasa - 2023

Persistent link: https://www.econbiz.de/10014390443

A fast Monte Carlo scheme for additive processes and option pricing

Azzone, Michele; Baviera, Roberto - In: Computational management science 20 (2023) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10014393374

A transform-based method for pricing Asian options under general two-dimensional models

Zhang, Weinan; Zeng, Pingping - In: Quantitative finance 23 (2023) 11, pp. 1677-1697

Persistent link: https://www.econbiz.de/10014419186

Saddlepoint approximations for credit portfolio distributions with applications in equity risk management

Herbertsson, Alexander - 2023

Persistent link: https://www.econbiz.de/10014518798

A novel stochastic modeling framework for coal production and logistics through options pricing analysis

Alfeus, Mesias; Collins, James - In: Financial innovation : FIN 9 (2023) 1, pp. 1-19

pricing spread options of three assets under the stochastic volatility model. We derive a three-dimensional Fast Fourier … Transform ("FFT") lower bound approximation to value the inherent real optionality and for robustness check, we compare the semi …

Persistent link: https://www.econbiz.de/10014289024