204 research outputs found
Volatility Models : from GARCH to Multi-Horizon Cascades
No full textWe overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different models for describing price dynamics at several time horizons simultaneously is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple horizons. These models are based on different and sometimes competing theoretical concepts. They belong either to GARCH or stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties and comment on their pratical usefulness and perspectives.Volatility modeling, GARCH, stochastic volatility, volatility cascade, multiple horizons in volatility.
Международная школа-конференция С.Б. Стечкина по теории функций, посвященная 85-летию чл.-корр. РАН Ю. Н. Субботина и заслуженного деятеля науки РФ Н.И. Черных
No full textBrief information about S. B. Stechkin's workshopconference,on function theory for the fifty years of its existence,is given. The 46th workshop-conference dedicated to the 85th,anniversary of Corresponding Member of the Russian Academy,of Sciences Yu. N. Subbotin and Honored Scientist of the Russian,Federation N. I. Chernykh, which took place with face-to-face and virtual,participation in the Chemal region of the Altai Republic from August,9 to 19, 2021, is presented in more detail. The list of reports with a,summary of the participants of the workshop-conference is given © 2021, Siberian Electronic Mathematical Reports. All Rights Reserved.Работа по организации и проведению школы-конференции выполнена в рамках исследовательской и образовательной деятельности Уральского математического центра при финансовой поддержке Министерства науки и высшего образования РФ (номер соглашения 075-02-2021-1383)
INTERPOLATING ORTHOGONAL BASES OF N-SEPARATE MRAS AND WAVELETS
No full textInterpolating orthogonal wavelet bases are constructed with the use of several scaling functions. In the classical case, a basis of the space L2(R) is formed by shifts and compressions of a single function ψ. In contrast to the classical case, we consider several bases of the space L2(R), which are formed by shifts and compressions of n functions ψs, s = 1, . . ., n. The n-separate wavelets constructed by the author earlier form n orthonormal bases of the space L2(R). In 2008, Yu.Ṅ. Subbotin and N. I. Chernykh suggested a method for modifying the Meyer scaling function in such a way that the basis formed by it is simultaneously orthogonal and interpolating. In the present paper we propose a method for modifying the masks of n-separate scaling functions from a wide class in such a way that the resulting new scaling functions and wavelets remain orthogonal and at the same time become interpolating.Ministry of Education and Science of the Russian Federation, Minobrnauka, (075-02-2022-874); Ministry of Education and Science of the Russian Federation, MinobrnaukaThis study is a part of the research carried out at the Ural Mathematical Center and supported by the Ministry of Science and Higher Education of the Russian Federation (agreement no. 075-02-2022-874)
The Poisson problem in a domain with a cut
No full textWith the help of harmonic wavelets, we study the behavior of solutions to the Poisson problem in an elliptic ring when the interior bound shrinks to a segment. It is demonstrated that only partial derivatives of a solution have unbounded singularities near the ends of this segment. © 2012 Allerton Press, Inc
JETP Letters V. 77, I .11
No full textJETP Letters -- June 10, 2003
Volume 77, Issue 11, pp. 599-637
FIELDS, PARTICLES, AND NUCLEI
Screening and Antiscreening Effects in J/psi Production on Nuclei
K. G. Boreskov and A. B. Kaidalov
pp. 599-602 Full Text: PDF (63 kB)
Refinement of the Hadronic Contribution to the Muon Anomalous Magnetic Moment and to alpha(M2z)
B. V. Geshkenbein
pp. 603-605 Full Text: PDF (40 kB)
PLASMA, GASES
Destruction of a Solid Film under the Action of Ultrashort Laser Pulse
S. I. Anisimov, V. V. Zhakhovskii, N. A. Inogamov, K. Nishihara, A. M. Oparin, and Yu. V. Petrov
pp. 606-610 Full Text: PDF (117 kB)
Production of Powerful Electron Beams in Dense Gases
V. F. Tarasenko, S. I. Yakovlenko, V. M. Orlovskii, A. N. Tkachev, and S. A. Shunailov
pp. 611-615 Full Text: PDF (178 kB)
CONDENSED MATTER
Hall Conductivity of Minibands Lying at the Wings of Landau Levels
J. Brüning, S. Yu. Dobrokhotov, V. A. Geyler, and K. V. Pankrashkin
pp. 616-618 Full Text: PDF (51 kB)
Electronic and Structural Transitions in NdFeO3 Orthoferrite under High Pressures
A. G. Gavriliuk, I. A. Troyan, R. Boehler, M. I. Eremets, I. S. Lyubutin, and N. R. Serebryanaya
pp. 619-624 Full Text: PDF (98 kB)
Molecular Self-Organization of Ho3+ Impurity Ions in Synthetic Forsterite
A. V. Gaister, E. V. Zharikov, A. A. Konovalov, K. A. Subbotin, and V. F. Tarasov
pp. 625-630 Full Text: PDF (86 kB)
Possible Nanomachines: Nanotube Walls as Movable Elements
Yu. E. Lozovik, A. V. Minogin, and A. M. Popov
pp. 631-635 Full Text: PDF (190 kB)
Inductive Excitation of a Two-Dimensional Electron System
A. V. Chaplik
pp. 636-637 Full Text: PDF (28 kB)Archived web conten
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