… Thus for stock S and for instance t, the prediction of the … Borovkova's research ranges
from commodity finance to exotic … Borovkova is a frequently invited speaker on international …

… More precisely, given integers K, L, N, we can approximate the sequence of (K + 2L, N)-blocks
(Bs)s≥1 by a sequence of independent blocks (Bs)s≥1 with the same marginal …

… where λ s is the spatial order of the sth autoregressive term, φ sk is the autoregressive
parameter at time lag s and spatial lag k, W (k) is the N×N-weight matrix for spatial lag k=0,1,…,λ s …

… Consider a probability space ( Ω , F , P ) equipped with a filtration F ^ s s ≥ 0 . We postulate
that the base process X = (X s ) s≥0 is given by an Ornstein–Uhlenbeck process with a jump …

In this paper we develop a new model for the dynamics of forward curves of commodities
exhibiting seasonalities, such as natural gas, electricity or agricultural commodities. In the …

We investigate the impact of news sentiment on the price dynamics of natural gas futures. We
propose a Local News Sentiment Level model, based on the Local Level model of Durbin …

… Recall that m, s and τ were obtained by the moment matching procedure, which amounts to
… of the parameters m, s and τ. For example, to obtain the option’s deltas, we differentiate the …

… P(t) on each day t as the sum of the deterministic seasonal component s(t) and a stochastic
process X(t): The seasonal component s(t) usually consists of two periodic functions: with the …

… of the current and past disturbances e(s),s ≤ t, it suffices to assume moment conditions on
e(t) only. We assume: … Part of our programming is following command in R or S-Plus software: …

Motivated by the problem of estimating the fractal dimension of a strange attractor, we prove
weak consistency of U-statistics for stationary ergodic and mixing sequences when the …