Search Results - subject:"Time scale"

Data-based parametrization for Affine GARCH models across multiple time scales : roughness implications

Escobar, Marcos; Ferrando, Sebastian; Li, Fuyu; Xu, Ke - In: Econometrics : open access journal 13 (2025) 1, pp. 1-17

This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new … frequencies to let data reveal the correct, data-implied, time-scale parameterizations. We compared the data … propose a theoretically flexible time-scale parameterization compatible with this fBM behavior. In this context, a fractional …

Persistent link: https://www.econbiz.de/10015408198

Portfolio optimization in deformed time

Fall, Malick - In: Journal of asset management : a major new, … 26 (2025) 2, pp. 176-185

Persistent link: https://www.econbiz.de/10015447785

How does liquidity shape the yield curve?

Le Coz, Victor; Mastromatteo, Iacopo; Benzaquen, Michael - In: Quantitative finance 25 (2025) 8, pp. 1215-1232

Persistent link: https://www.econbiz.de/10015534190

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

Academic research has identified several factors that affect price movements; however, the scenario changes abruptly in the case of very short time price changes (VSTPC). This topic is not specifically examined in the existing literature; nonetheless, the behavior of the market microstructure is...

Persistent link: https://www.econbiz.de/10013272630

Who dominate the information flowing between innovative and traditional financial assets? : a multiscale entropy-based approach

Zhou, Yang; Chi, Xie; Wang, Gang-Jin; Gong, Jue; Li, … - In: International review of economics & finance : IREF 93 (2024) 2, pp. 329-358

Persistent link: https://www.econbiz.de/10014535561

Revisiting elastic string models of forward interest rates

Le Coz, Victor; Bouchaud, Jean-Philippe - In: Quantitative finance 24 (2024) 11, pp. 1561-1578

Persistent link: https://www.econbiz.de/10015196945

Decomposition methods for monotone two-time-scale stochastic optimization problems

Rigaut, Tristan; Carpentier, Pierre; Chancelier, … - In: Computational management science 21 (2024) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10014636796

Realized density estimation using intraday prices

Arnerić, Josip - In: Croatian Review of Economic, Business and Social … 6 (2020) 1, pp. 1-9

bandwidth is strongly related to the sampling frequency at the slow-time-time scale when applying a two-scale estimator, while … the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature …

Persistent link: https://www.econbiz.de/10015437254

Design of real-time co-simulation platform for wind energy conversion system

Li, Bing; Zhao, Haoran; Diao, Junchao; Han, Mingzhe - In: Energy Reports 6 (2020) 2, pp. 403-409

This paper presents an all-digital real-time co-simulation platform of refined Wind Energy Conversion System (WECS) model. The proposed platform is based on the Real-time Digital Simulator (RTDS) and FAST developed by National Renewable Energy Laboratory (NREL). The detailed generator and...

Persistent link: https://www.econbiz.de/10012652270

Design of real-time co-simulation platform for wind energy conversion system

Li, Bing; Zhao, Haoran; Diao, Junchao; Han, Mingzhe - In: Energy reports 6 (2020) 2, pp. 403-409

Persistent link: https://www.econbiz.de/10012181015

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