نتایج جستجو برای: keywords volatility

تعداد نتایج: 1993260  

Journal: Iranian Economic Review 2020

F orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Real...

Journal: :I. J. Network Security 2013
Cheng-Chi Lee Shih-Ting Hsu Min-Shiang Hwang

We study the development of conjunctive keyword searchable scheme which enables one to search encrypted documents by using more than one keyword. The notion of conjunctive keyword searching was presented by Golle et al. in 2004. However, their security model was constructed in a symmetric-key setting which is not applicable for the overall applications in the reality. So Park et al. extended Go...

2006
A. Eduardo Gatto

In this paper we present several proofs on the extension of M. Riesz fractional integration and di¤erentiation to the contexts of spaces of homogeneous type and measure metric spaces with non-doubling measures. 1. Introduction, some de…nitions, and a basic lemma Professor M. Ash asked me to write a survey article on some of the results that Stephen Vági and I obtained in the nineties on fractio...

2012
Fatimah Almah Saaid

This paper presents a procedure for estimating VAR using Sequential Discounting VAR (SDVAR) algorithm for online model learning to detect fraudulent acts using the telecommunications call detailed records (CDR). The volatility of the VAR is observed allowing for non-linearity, outliers and change points based on the works of [1]. This paper extends their procedure from univariate to multivariat...

2014
Ibtissem Ben Othman

Despite of the widespread use of the neural networks in the industrial applications, their mathematical formulation remains difficult to analyze. This explains a limited amount of work that formally models their classification volatility. Referring to the statistical point of view, we attempt in this work to evaluate the classical and Bayesian neural networks stability degree compared to the st...

Journal: :CoRR 2010
Dan-Cristian Tomozei Jean-Yves Le Boudec

We study a stochastic model of electricity production and consumption where appliances are adaptive and adjust their consumption to the available production, by delaying their demand and possibly using batteries. The model incorporates production volatility due to renewables, ramp-up and rampdown time, uncertainty about actual demand versus planned production, delayed and evaporated demand due ...

Volatility is a measure of uncertainty that plays a central role in financial theory, risk management, and pricing authority. Turbulence is the conditional variance of changes in asset prices that is not directly observable and is considered a hidden variable that is indirectly calculated using some approximations. To do this, two general approaches are presented in the literature of financial ...

In this article the relationship between market return and volatility is examined by applying out- of- sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE and TSE. However I found only negative relationship between unexpected volatility and monthly return...

Journal: :International Journal of Language and Culture 2016

2011
H. L. Yim S. H. Lee S. K. Yoo J. J. Kim

This study proposes a materials procurement contracts model to which the zero-cost collar option is applied for heading price fluctuation risks in construction.The material contract model based on the collar option that consists of the call option striking zone of the construction company(the buyer) following the materials price increase andthe put option striking zone of the material vendor(th...

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