GlobalCapital

Introduction To Conditional Variance Swaps

Conditional variance swaps are similar to standard variance swaps but variance exposure is limited to a predefined range of underlying levels. Conditional variance swaps are similar to standard ...
GitHub

CoRe: Conditional Variance Penalties and Domain Shift Robustness

The aim is to build classifiers that are robust against specific interventions. These domain-shift interventions are defined in a causal graph, extending the framework of Gong et al (2016). In ...
Simon Fraser University

Heteroscedasticity and GARCH Models

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...
Scientific Research Publishing

A New Range-Based Regime-Switching Dynamic Conditional Correlation Model for Minimum-Variance Hedging ()

1 Graduate Institute of Finance, National Taiwan University of Science and Technology, Taipei City. 2 Department of Finance, National Kaohsiung First University of Science and Technology, Kaohsiung ...
Scientific Research Publishing

A Geometric Approach to Conditioning and the Search for Minimum Variance Unbiased Estimators ()

School of Mathematical Sciences, Rochester Institute of Technology, Rochester, New York, USA. [1] [2]. Our goal is to find the MVUE of θ based on this alternative data. We use this example to ...