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Fat tails and asymmetry in financial volatility models

Verhoeven, Peter; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 351-361

Although the generalised autoregressive conditional heteroskedasticity (GARCH) model has been quite successful in … GARCH model under various non-normal error distributions in order to evaluate skewness and leptokurtosis. The empirical … results show that GARCH models estimated using asymmetric leptokurtic distributions are superior to their counterparts …

Persistent link: https://www.econbiz.de/10010748637

Flow regimes identification and liquid-holdup prediction in horizontal multiphase flow based on neuro-fuzzy inference systems

El-Sebakhy, Emad A. - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 9, pp. 1854-1866

Numerous techniques have been used to identify flow regimes and liquid holdup in horizontal multiphase flow, but often neither perform well nor very accurate. Recently, neuro-fuzzy inference systems learning scheme have been gaining popularity in its capability for solving both prediction and...

Persistent link: https://www.econbiz.de/10010870117

Evaluation of model parameter accuracy by using joint confidence regions: application to low complexity neural networks to describe enzyme inactivation

Geeraerd, Annemie H.; Herremans, Carl H.; Ludikhuyze, … - In: Mathematics and Computers in Simulation (MATCOM) 48 (1998) 1, pp. 53-64

An existing low complexity, black box artificial neural network model (ANN model) is investigated towards its more general applicability in the field of high isobaric–isothermal inactivation of enzymes. The use of this non-linear modeling technique makes it possible to describe accurately...

Persistent link: https://www.econbiz.de/10010870319

Operation of storage reservoir for water quality by using optimization and artificial intelligence techniques

Chaves, Paulo; Tsukatani, Tsuneo; Kojiri, Toshiharu - In: Mathematics and Computers in Simulation (MATCOM) 67 (2004) 4, pp. 419-432

Water quantity and quality are considered to be the main driving forces of the reservoir operation. Barra Bonita reservoir, located in the southeast region of Brazil, is chosen as the case study for the application of the proposed methodology. Herein, optimization and artificial intelligence...

Persistent link: https://www.econbiz.de/10010748810

Parameter identification via neural networks with fast convergence

Yadaiah, N.; Sivakumar, L.; Deekshatulu, B.L. - In: Mathematics and Computers in Simulation (MATCOM) 51 (2000) 3, pp. 157-167

The parameter identification using artificial neural networks is becoming very popular. In this chapter, the parameters of dynamical system are identified using artificial neural networks. A fast gradient decent technique for the parameter identification of a linear dynamical system has been...

Persistent link: https://www.econbiz.de/10010749884

ADALINE approach for induction motor mechanical parameters identification

Sediki, Hamid; Bechouche, Ali; Abdeslam, Djaffar Ould; … - In: Mathematics and Computers in Simulation (MATCOM) 90 (2013) C, pp. 86-97

Two new methods to identify the mechanical parameters in induction motor based field oriented drives are presented in this paper. The identified parameters are: the moment of inertia and the viscous damping coefficient. The proposed methods are based on the adaptive linear neuron (ADALINE)...

Persistent link: https://www.econbiz.de/10010751783

Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation

Chan, Felix; Theoharakis, Billy - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1385-1396

-Generalized Autoregressive Conditional Heteroskedasticity (STAR-GARCH) can be problematic due to computational difficulties. Conventional … makes Quasi-Maximum Likelihood Estimator (QMLE) difficult to obtain for STAR-GARCH models in practice. Curiously, there has … STAR-GARCH using QMLE. The aim of the paper is to investigate the nature of the numerical difficulties using Monte Carlo …

Persistent link: https://www.econbiz.de/10010869931

The pricing of options for securities markets with delayed response

Kazmerchuk, Yuriy; Swishchuk, Anatoliy; Wu, Jianhong - In: Mathematics and Computers in Simulation (MATCOM) 75 (2007) 3, pp. 69-79

delayed response is derived. A special case of continuous-time version of GARCH is considered. The results are compared with …

Persistent link: https://www.econbiz.de/10010870462

Modelling the asymmetric volatility of electronics patents in the USA

Chan, Felix; Marinova, Dora; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 1, pp. 169-184

the symmetric AR(1)-GARCH(1, 1), the asymmetric AR(1)-GJR(1, 1), and asymmetric AR(1)-EGARCH(1, 1). Of these, the …

Persistent link: https://www.econbiz.de/10011050523

Extreme market risk and extreme value theory

Singh, Abhay K.; Allen, David E.; Robert, Powell J. - In: Mathematics and Computers in Simulation (MATCOM) 94 (2013) C, pp. 310-328

predicting static VaR, CVaR or expected shortfall (ES) and expected return level and also daily VaR using a GARCH(1,1) and EVT …

Persistent link: https://www.econbiz.de/10011051252