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Search: subject:"stochastic variance"
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Regularized robust strategic asset allocation under
stochastic
variance
-covariance of asset returns
Kikuchi, Kentaro
;
Kusuda, Koji
-
2024
Persistent link: https://www.econbiz.de/10014549549
Saved in:
2
Adaptive
stochastic
variance
reduction for subsampled Newton method with cubic regularization
Zhang, Junyu
;
Xiao, Lin
;
Zhang, Shuzhong
- In:
INFORMS journal on optimization
4
(
2022
)
1
,
pp. 45-64
Persistent link: https://www.econbiz.de/10013184948
Saved in:
3
The market price of risk of the variance term structure
Dotsis, George
- In:
Journal of banking & finance
84
(
2017
),
pp. 41-52
Persistent link: https://www.econbiz.de/10011816835
Saved in:
4
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
Bos, Charles S.
;
Koopman, Siem Jan
-
2010
Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...
Persistent link: https://www.econbiz.de/10010326058
Saved in:
5
Models with time-varying mean and variance : a robust analysis of US industrial production
Bos, Charles S.
;
Koopman, Siem Jan
-
2010
Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...
Persistent link: https://www.econbiz.de/10011379641
Saved in:
6
Implied market price of weather risk
Härdle, Wolfgang Karl
;
López Cabrera, Brenda
-
2009
Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...
Persistent link: https://www.econbiz.de/10010274151
Saved in:
7
Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar
;
Schneider, Paul
-
2009
Persistent link: https://www.econbiz.de/10009428004
Saved in:
8
Implied Market Price of Weather Risk
Härdle, Wolfgang
;
Cabrera, Brenda López
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
derivatives, weather risk, weather forecasting, seasonality, continuous autoregressive model,
stochastic
variance
, CAT index, CDD …
Persistent link: https://www.econbiz.de/10005677972
Saved in:
9
Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar
;
Schneider, Paul
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
Saved in:
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