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Optimal Stopping Time of a Portfolio Selection Problem with Multi-assets Journal article
Journal of the Operations Research Society of China, 2021,Volume: 9,Issue: 1,Page: 163-179
Authors:  Wu,Xian Ping;  Vong,Seakweng;  Zhou,Wen Xin
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2021/03/09
Dynamic programming  Holding region  Optimal stopping  Portfolio  Value function  
Stochastic Online Generation Control of Cascaded Run-of-the-River Hydropower for Mitigating Solar Power Volatility Journal article
IEEE TRANSACTIONS ON POWER SYSTEMS, 2020,Volume: 35,Issue: 6,Page: 4709-4722
Authors:  Yiwei Qiu;  Jin Lin;  Feng Liu;  Yonghua Song;  Gang Chen;  Lijie Ding
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2021/04/29
Hydroelectric Power Generation  Stochastic Processes  Automatic Generation Control  Mathematical Model  Uncertainty  Solar Power Generation  Predictive Control  
Estimating spot volatility in the presence of infinite variation jumps Journal article
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018,Volume: 128,Issue: 6,Page: 1958-1987
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi
Favorite |  | TC[WOS]:2 TC[Scopus]:3 | Submit date:2018/10/30
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  Central Limit Theorem  
A regression-based numerical scheme for backward stochastic differential equations Journal article
COMPUTATIONAL STATISTICS, 2017,Volume: 32,Issue: 4,Page: 1357-1373
Authors:  Deng DING;  Yiqi Liu
Favorite |  | TC[WOS]:2 TC[Scopus]:1 | Submit date:2019/07/23
Characteristic Functions  Least-squares Regressions  Monte Carlo Methods  European Options  
China's Capital and 'Hot' Money Flows: An Empirical Investigation Journal article
Pacific Economic Review, 2016,Volume: 21,Issue: 3,Page: 276-294
Authors:  Cai, Tao;  Dang, Vinh Q. T.;  Lai, Jennifer T.
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2018/11/06
Estimating integrated co-volatility with partially miss-ordered high frequency data Journal article
Statistical Inference for Stochastic Processes, 2016,Volume: 19,Issue: 2,Page: 175-197
Authors:  Liu Z.
Favorite |  | TC[WOS]:0 TC[Scopus]:3 | Submit date:2019/02/14
Central Limit Theorem  Diffusion Model  High Frequency Data  Multiple Transactions  Stable Convergence  
Estimating integrated co-volatility with partially miss-ordered high frequency data Journal article
Statistical Inference for Stochastic Processes, 2016,Volume: 19,Issue: 2,Page: 175-197
Authors:  Liu,Zhi
Favorite |  | TC[WOS]:0 TC[Scopus]:3 | Submit date:2021/03/11
Central limit theorem  Diffusion model  High frequency data  Multiple transactions  Stable convergence  
Predictive Deep Boltzmann Machine for Multiperiod Wind Speed Forecasting Journal article
IEEE Transactions on Sustainable Energy, 2015,Volume: 6,Issue: 4,Page: 1416
Authors:  Zhang C.-Y.;  Chen C.L.P.;  Gan M.;  Chen L.
Favorite |  | TC[WOS]:93 TC[Scopus]:118 | Submit date:2018/10/30
Deep Boltzmann Machine (Dbm)  Deep Learning  Time Series  Wind Speed Prediction  
Foreign interest rate shocks and exchange rate regimes in East Asia Journal article
Applied Economics, 2014,Volume: 46,Issue: 21,Page: 2488-2501
Authors:  Yang Zhang;  Mengling Li;  Wai-Mun Chia
Favorite |  | TC[WOS]:1 TC[Scopus]:1 | Submit date:2018/11/06
Exchange Rate Regime  Foreign Interest Rate Shocks  East Asia  Panel Var  
Quadratic finite element and preconditioning methods for options pricing in the SVCJ model Journal article
Journal of Computational Finance, 2014,Volume: 17,Issue: 3,Page: 3-30
Authors:  Zhang Y.-Y.;  Pang H.-K.;  Feng L.;  Jin X.-Q.
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2019/02/11
Jump Diffusion-processes  Stochastic Volatility  American Options  Returns  Systems  Assets