Extended residual coherence with a financial application
نویسندگان
چکیده
Abstract Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of single time series and its lags. This paper extends the notion residual to account multiple series. Moreover, an alternative criterion, integrated spectrum, proposed facilitate this selection. A financial market application shows that new insights can be gained regarding implied volatility.
منابع مشابه
a new type-ii fuzzy logic based controller for non-linear dynamical systems with application to 3-psp parallel robot
abstract type-ii fuzzy logic has shown its superiority over traditional fuzzy logic when dealing with uncertainty. type-ii fuzzy logic controllers are however newer and more promising approaches that have been recently applied to various fields due to their significant contribution especially when the noise (as an important instance of uncertainty) emerges. during the design of type- i fuz...
15 صفحه اولISO 9000 practices and financial performance: A technology coherence perspective
Attention to processes has increased, as thousands of organizations have adopted process-focused programs such as TQM and ISO 9000. Proponents of such programs stress the promise of improved efficiency and profitability. But research has not consistently borne out these prospects. Moreover, the expectation of universal benefits is not consistent with research highlighting the important role of ...
متن کاملDoes A Logical Coherence Relationship Exist between Strategic Financial Decisions?
This paper investigates the logical ties between investment, financing and dividends decisions, creating the coherence of these three strategic financial decisions of the firm. Basing on results of a questionnaire addressed to a number of financial managers of firms, a comparative survey between two investigations, one achieved at United States (by W.Pruitt and Y.Gitman on a sample of 114 firms...
متن کاملFAME: Financial Application with Many-core-on-a-chip architecturE
Research in financial derivatives is one of the important areas in computational finance. The computational requirements for solving models of financial derivatives such as the option pricing problem are huge and demand efficient algorithms and high performance computing capabilities. In this paper, we focus on the development of a Monte-Carlo algorithm with historic volatility and GARCH fitted...
متن کاملCoherence and Consistency in Domains (Extended Outline)
Almost all of the categories normally used as a mathematical foundation for denotational semantics satisfy a condition known as consistent completeness. The goal of this paper is to explore the possibility of using a different condition that of coherence which has its origins in topology and logic. In particular, we concentrate on those posets whose principal ideals are algebraic lattices and w...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistics in Transition New Series
سال: 2021
ISSN: ['1234-7655', '2450-0291']
DOI: https://doi.org/10.21307/stattrans-2021-014