Search Results - subject:"STOCHASTIC PROCESSES"

Exponential time trends in a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Econometrics : open access journal 12 (2024) 2, pp. 1-14

This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general than the standard methods, which allow for only...

Persistent link: https://www.econbiz.de/10014636409

Bitcoin volatility and intrinsic time using double-subordinated lévy processes

Shirvani, Abootaleb; Mittnik, Stefan; Lindquist, … - In: Risks : open access journal 12 (2024) 5, pp. 1-21

We propose a doubly subordinated Lévy process, the normal double inverse Gaussian (NDIG), to model the time series properties of the cryptocurrency bitcoin. By using two subordinated processes, NDIG captures both the skew and fat-tailed properties of, as well as the intrinsic time driving,...

Persistent link: https://www.econbiz.de/10014636539

Test of volatile behaviors with the asymmetric stochastic volatility model : an implementation on Nasdaq-100

Suleymanov, Elchin; Gubadli, Magsud; Yagubov, Ulvi - In: Risks : open access journal 12 (2024) 5, pp. 1-18

The present study aimed to investigate the presence of asymmetric stochastic volatility and leverage effects within the Nasdaq-100 index. This index is widely regarded as an important indicator for investors. We focused on the nine leading stocks within the index, which are highly popular and...

Persistent link: https://www.econbiz.de/10014636604

Expected utility optimization with convolutional stochastically ordered returns

Gauchon, Romain; Barigou, Karim - In: Risks : open access journal 12 (2024) 6, pp. 1-19

they seek to optimize outcomes. Traditional methods often require restrictive assumptions about underlying stochastic … processes, limiting their applicability. This paper expands the theoretical framework by considering investment returns modeled …

Persistent link: https://www.econbiz.de/10014636719

Notes on random optimal control equilibrium problem via stochastic inverse variational inequalities

Barbagallo, Annamaria; Pansera, Bruno Antonio; Ferrara, … - In: Computational management science 21 (2024) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014636789

Handling of long-term storage in multi-horizon stochastic programs

Kaut, Michal - In: Computational management science 21 (2024) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014636794

Decomposition methods for multi-horizon stochastic programming

Zhang, Hongyu; Grossmann, Ignacio E.; Tomasgard, Asgeir - In: Computational management science 21 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014636804

Are reference measures of law-invariant functionals unique?

Liebrich, Felix-Benedikt - In: Insurance : mathematics and economics 118 (2024), pp. 129-141

Persistent link: https://www.econbiz.de/10015067038

A dynamic common resource model : stochastic shocks and consumption externalities

Watanabe, Riku - 2024

Persistent link: https://www.econbiz.de/10015069338

A performance analysis of stochastic processes and machine learning algorithms in stock market prediction

Bouasabah, Mohammed - In: Economies : open access journal 12 (2024) 8, pp. 1-12

In this study, we compare the performance of stochastic processes, namely, the Vasicek, Cox-Ingersoll-Ross (CIR), and … sector), and XLV (healthcare sector). The results showed that stochastic processes achieved remarkable prediction performance … lower. However, it is important to note that stochastic processes use the actual current index value to predict tomorrow …

Persistent link: https://www.econbiz.de/10015070753