Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive expli...

We complete the proof of a theorem we announced and partly proved in [Math. Nachr. 271 (2004), 69-90, math.AG/0111299]. The concerns family curves on surfaces. It has two parts. first was that paper. describes natural cycle enumerates with precisely $r$ ordinary nodes. second part is here. asserts that, for $r\le 8$, class this given by computable universal polynomial pushdowns to parameter spa...

Abstract Based on the theory of ordinary differential equations, this paper proposes a stable and discriminative method for piano tone tuning. We perform training hidden Markov model according to equations’ feature extraction parameters parameters. The can improve recognition rate tones. This trains tests MAPS universal dataset musical transcription automatic is uniformly trained synthetic part...

as a generalization of the triple i method, the universal triple imethod is investigated from the viewpoints of both fuzzy reasoningand fuzzy controller. the universal triple i principle is putforward, which improves the previous triple i principle. then,unified form of universal triple i method is established based onthe (0,1)-implication or r-implication. moreover, the reversibilityproperty o...

The Chinese real estate industry has experienced rapid growth since China’s economic reform. Along with a booming industry, a third of purchased lands were left undeveloped in the last decade. Knowledge of real estate development time lags between land being purchased and property being occupied can enable policymakers to produce more effective policies and regulations to guide the real estate ...

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeco...

This document is an on-line supplement to a recent paper (Carr and Crosby (2008)) entitled “A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options”. OLS