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Probabilistic forecasts of wind power generation by stochastic differential equation models
Kloppenborg Møller, Jan; Zugno, Marco; Madsen, Henrik - In: Journal of forecasting 35 (2016) 3, pp. 189-205
Persistent link: https://www.econbiz.de/10011580264
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Forecasting dirty tanker freight rate index by using stochastic differential equations
Jafari, Hossein; Rahimi, Ghazaleh - In: International journal of financial engineering 5 (2018) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10012028815
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A proposition of generalized stochastic Milevsky-Promislov mortaility models
S̀liwka, Piotr; Socha, Lesław - In: Scandinavian actuarial journal (2018) 8, pp. 706-726
Persistent link: https://www.econbiz.de/10011939728
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Short-term probabilistic forecasting of wind speed using stochastic differential equations
Iversen, Emil B.; Morales, Juan M.; Møller, Jan K.; … - In: International journal of forecasting 32 (2016) 3, pp. 981-990
Persistent link: https://www.econbiz.de/10011621968
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Partial Information, Return Predictability and Identification of Linear Stochastic Differential Equations
Buccheri, Giuseppe - 2022
Asset allocation and option pricing models are often formulated by means of linear stochastic differential equations. We show that this class of models is not identifiable from information contained in discrete-time data when the expected return process is unobservable. The indeterminacy arises...
Persistent link: https://www.econbiz.de/10013296829
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Modeling and pricing precipitation derivatives under weather forecasts
Hess, Markus - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10011568818
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Pricing temperature derivatives under weather forecasts
Hess, Markus - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
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A stochastic approach for determining profit rate of Islamic financing products
Zaidi Isa; Nur Amalina Shafie - In: International journal of economics and financial issues … 7 (2017) 1, pp. 154-163
Persistent link: https://www.econbiz.de/10011784465
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Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast
Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34
portfolio (PE), a Lagrange function is built and minimized. Also, on the basis of the results obtained from the analysis, the … after the analysis period. The data used in our analysis are shares of financial investment companies (SIF), traded on the … Bucharest Stock Exchange, and the distribution used in the analysis is lognormal. The structure of the portfolio obtained …
Persistent link: https://www.econbiz.de/10012062904