We report on a novel forecasting method based on nonlinear Markov modelling and canonical variate analysis, and investigate the use of a prediction algorithm to forecast conditional volatility. In particular, we assess the dynamic behaviour of the model by forecasting exchange rate volatility. It is found that the nonlinear Markov model can forecast exchange rate volatility significantly better...

This paper presents a comparative study on the application of different numerical methods for the solution of the dynamic bi-variate population balance equation (PBE) in batch particulate systems. Specifically, particulate processes operating under the combined action of particle aggregation and/or particle growth are examined. In order to solve the bi-variate PBE the Galerkin finite element me...

The aim of this study is to examine the equity premium puzzle in Iran for the quarterly period of 1993-2016. In this regard, the hybrid bivariate Garch model and also fuzzy dummy variables with consumption capital asset pricing model (C-CAPM) have been used. The results of study show that using C-CAPM within fuzzy dummy variables (CCAPM-F), the relative risk aversion coefficient of investor is ...

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Penalized spline criteria involve the function of goodness of fit and penalty, which in the penalty function contains smoothing parameters. It serves to control the smoothness of the curve that works simultaneously with point knots and spline degree. The regression function with two predictors in the non-parametric model will have two different non-parametric regression functions. Therefore, we...

We introduce poly-Bernoulli polynomials in two variables by using a generalization of Stirling numbers the second kind that we studied previous work. prove bi-variate polynomial version some known results on standard Bernoulli polynomials, as addition formula and binomial formula. also result allows us to obtain identities from identities, use this several involving products and/or polynomials....