In this paper we consider the fourth moment structure of a class of first-order Exponential GARCH models. This class contains as special cases both the standard Exponential GARCH model and the symmetric and asymmetric Logarithmic GARCH one. Conditions for the existence of any arbitrary moment...

A jump diffusion model coupled with a local volatility function has been suggested by Andersen and Andreasen (2000). By generating a set of option prices assuming a jump diffusion with known parameters, we investigate two crucial challenges intrinsic to this type of model: calibration of...

The development of the near wake of a vertical axis wind turbine is investigated by stereoscopic particle image velocimetry. The experiments are conducted in an open-jet wind tunnel on an H-shaped rotor, operated at a tip speed ratio of 4.5 and at an average chord-based Reynolds number of...