Modelling and forecasting volatility of a financial time series has been significant area research in recent years, owing to the fact that is regarded as an essential notion many economic applications. Because not directly observable, analysts are especially eager obtain accurate estimation this conditional variance process. As result, number models have developed specifically suited estimate i...

This paper thoroughly investigates the price dynamics of carbon spot and futures returns for the first commitment period ranging from 2008 to 2012 with the aim to develop an adequate spot-returns-model. We apply a broad spectrum of various GARCH models including different distributions for model innovations. Both time series, spot and futures returns, exhibit asymmetric behavior in their varian...

For the presence of non-normal distribution characteristics in the financial assets returns, the model of AR(1)-GJR(1,1) is used to characterize the marginal distribution of the style assets in China stock market. The Copula function is introduced to analyze the dependency structure between the six style assets, combined with the marginal distributed residual sequences. And the joint return dis...

Ecological patent registrations have been increasing in the USA steadily over time. The paper analyses trends and volatility in US ecological patents in the USA from 1975 to 1997. Germany contributed more than 10% of the total number of US ecological patents, and has been by far the strongest foreign performer. The time-varying nature of the volatility of the ecological patent share, namely the...

When using trees to price options, the standard practice is to increase the number of partitions per day, n, to improve accuracy. But increasing n incurs computational overhead. In fact, raising n makes the popular Ritchken-Trevor tree under non-linear GARCH (NGARCH) grow exponentially when n exceeds a typically small threshold. Worse, when this happens, the tree cannot grow beyond a certain ma...

This paper analyses the asymmetric volatility in Japanese electronics and electrical equipment (hereafter, electronics) patents in the USA from 1975 to 1997. The number of patents has been increasing steadily over time and the electronics industry has a 30% share of total Japanese patents in the USA. Thus, such patents reflect a strategic development by Japanese companies for the US market. The...

شرایط افروزش و اشتعال سوخت‌های گداخت هسته‌ای در حضور ناخالص­‌ها، یکی از موارد مهمی است که طراحی قرص‌های سوخت باید مورد توجه قرار گیرد. این مقاله اثر ناخالصی هسته سنگین طلا بر کلیه فرایندهای احتراق پلاسمای غیرتعادلی دوتریم- تریتیم مدل چهار دمایی آن شکل تابع توزیع انرژی رفتار فوتون‌ها تأثیر می‌گذارد بررسی گرفته است. مطالعه شامل اثرات منفی سوخت، طول زمان تشکیل لکه داغ نتایج محاسبات عددی به­ دست آم...