This paper explores a common machine learning tool, the kernel ridge regression, as applied to financial volatility forecasting. It is shown that kernel ridge provides reliable forecast improvements to both a linear specification, and a fitted nonlinear specification which represents well known...

Purpose – This study aims to use gray models to predict abnormal stock returns.Design/methodology/approach – Data are collected from listed companies in the Tehran Stock Exchange during 2005-2015. The analyses portray three models, namely, the gray model, the nonlinear gray Bernoulli model...

We present several results on exact controllability for linear and nonlinear parabolic equations, both when the distributed control is acting linearly or nonlinearly on the whole domain. As a very particular case, we extend some recent works by means of a simpler constructive approach....

In this paper we study the existence of integral solutions for nonlinear differential equations with nonlocal initial conditions in Banach spaces.We derive conditions under which the integral solutions exit

This paper presents simulation results on the robustness of normal parametric inference in non-linear mixed models. A linearization approach to inference is compared with two two-stage methods (standard two-stage, STS, and global two-stage, GTS). When the assumptions of normality of the...

This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely, financial market based and news-based. When...

We have studied a series of (ansätze) ordinary differential equations of the first-order, which correspond to the travelling (and/or solitary) wave solutions of some nonlinear partial differential equations. We have investigated the conditions, under which the nonlinear partial differential...

Using the path-integral formalism we develop an accurate and easy-to-compute semi-analytical approximation to transition probabilities and Arrow-Debreu densities for arbitrary diffusions. We illustrate the accuracy of the method by presenting results for the Black-Karasinski model for which the...