Standard target zone exchange rate models are based on nonlinear functions of an unobserved economic fundamental, which is assumed to be bounded, similarly to the target zone exchange rates themselves. A violation of this key assumption is a basic structural reason for model failure. Using a...

The battery state of charge (SoC), whose estimation is one of the basic functions of battery management system (BMS), is a vital input parameter in the energy management and power distribution control of electric vehicles (EVs). In this paper, two methods based on an extended Kalman filter (EKF)...

Accurate estimation of the state of charge (SOC) of batteries is one of the key problems in a battery management system. This paper proposes an adaptive SOC estimation method based on unscented Kalman filter algorithms for lithium (Li)-ion batteries. First, an enhanced battery model is proposed...

Real-time traffic flow estimation is important for online traffic control and management. The traffic state estimator optimally matches traffic measurements from detectors with traffic flow predictions from a dynamic traffic model under a certain control strategy. The current and widely used...

The main goal of this paper is to study the cross-sectional pricing of market volatility. The paper proposes that the market return, diffusion volatility, and jump volatility are fundamental factors that change the investors’ investment opportunity set. Based on estimates of diffusion and jump...

Accurate wind speed forecasting is becoming increasingly important to improve and optimize renewable wind power generation. Particularly, reliable short-term wind speed prediction can enable model predictive control of wind turbines and real-time optimization of wind farm operation. However,...

To keep yields non-negative in a quadratic Gaussian term structure model (QGTM), the short rate is represented by the quadratic form of the Gaussian state variables. The QGTM is among the most attractive candidate tools for analyzing yield curves for countries with low interest rates. However,...

This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to give a complete...