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  • 1
    Language: English
    In: Energy Economics, 2010, Vol.32(5), pp.1074-1081
    Description: In this paper we introduce a new stochastic long-term/short-term model for short-term electricity prices, and apply it to four major European indices, namely to the German, Dutch, UK and Nordic one. We give evidence that all time series contain certain periodic (mostly annual) patterns, and show how to use the wavelet transform, a tool of multiresolution analysis, for filtering purpose. The wavelet transform is also applied to separate the long-term trend from the short-term oscillation in the seasonal-adjusted log-prices. In all time series we find evidence for dynamic volatility, which we incorporate by using a bivariate GARCH model with constant correlation. Eventually we fit various models from the existing literature to the data, and come to the conclusion that our approach performs best. For the error distribution, the Normal Inverse Gaussian distribution shows the best fit.
    Keywords: Electricity Price Model ; Wavelets ; Seasonal Filter ; Relative Wavelet Energy ; Multivariate Garch ; Economics
    ISSN: 0140-9883
    E-ISSN: 1873-6181
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  • 2
    Language: English
    In: Extremes, 2012, Vol.15(2), pp.159-174
    Description: The strong and the weak tail dependence coefficients are measures that quantify the probability of conjoint extreme events of two random variables. Whereas formulas for both tail dependence coefficients exist for the Gaussian and Student t distribution, only the strong tail dependence coefficient is known for their super-model, the elliptical generalized hyperbolic distribution, which is extremely popular in finance (see Schmidt 2003). In this work we derive a simple expression for the corresponding weak tail dependence coefficient using the mixture representation of the elliptical generalized hyperbolic distribution.
    Keywords: Extreme value theory ; Tail dependence ; Hyperbolic tail quantile ; Copula
    ISSN: 1386-1999
    E-ISSN: 1572-915X
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  • 3
    Language: English
    In: Communications in Statistics - Theory and Methods, 01 August 2012, Vol.41(15), pp.2617-2625
    Description: In this article, we derive a new formula for extreme Student t quantiles. We use the fact that the Student t distribution arises as the limit of a variance-mixture of normals. For the normal distribution there is already a tail quantile formula derived by Reiss ( 1989 ). We generalize his procedure and transfer it to our scenario. Eventually, we compare the quantile estimates of our formula to those from Gafer and Kafadar ( 1984 ), who also derived a Student t quantile formula. Using R to generate a benchmark we find that our method is more accurate for very high quantiles.
    Keywords: Quantile Approximation ; Student T Distribution ; Variance-Mixture of Normals ; Statistics ; Mathematics
    ISSN: 0361-0926
    E-ISSN: 1532-415X
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  • 4
    Language: English
    In: Journal of Forecasting, 2016
    ISSN: Journal of Forecasting
    E-ISSN: 02776693
    E-ISSN: 1099131X
    Source: Wiley (via CrossRef)
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  • 5
    Language: English
    In: Managerial Economics, 2014, Vol.15(1), p.107
    Description: By means of wavelet transform, an ARIMA time series can be split into different frequency components. In doing so, one is able to identify relevant patters within this time series, and there are different ways to utilize this feature to improve existing time series forecasting methods. However, despite a considerable amount of literature on the topic, there is hardly any work that compares the different wavelet-based methods with each other. In this paper, we try to close this gap. We test various wavelet-based methods on four data sets, each with its own characteristics. Eventually, we come to the conclusion that using wavelets does improve forecasting quality, especially for time horizons longer than one-day-ahead. However, there is no single superior method: either wavelet-based denoising or wavelet-based time series decomposition is best. Performance depends on the data set as well as the forecasting time horizon.
    ISSN: 1898-1143
    Source: CrossRef
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  • 6
    Language: English
    In: Zeitschrift für Energiewirtschaft, 2017, Vol.41(2), pp.137-150
    Description: We investigate, if it pays off for a company to invest into complex swing option algorithms. First, least squares Monte Carlo as a complex valuation algorithm is introduced and explained in detail. Using a simulation study and two backtest scenarios we then compare the output of this method with a simple myopic approach, and evaluate the results also from a business point of view. We find that myopic operation performs fairly well, but given a certain contract flexibility LSMC clearly prevails. In diesem Beitrag wird untersucht, ob es sich für ein Unternehmen auszahlt, in komplexe Algorithmen zur Optimierung von Swing Optionen zu investieren. Hierzu wird zunächst ein vergleichsweise komplexer stochastischer Optimierungs-Algorithmus, der sog. Least Squares Monte Carlo (LSMC) Algorithmus, vorgestellt und angewendet. Im Rahmen einer Simulationsstudie sowie zwei Backtest-Perioden werden die mit diesem Algorithmus erzielten Ergebnisse mit denen einer sehr simplen myopischen Bewirtschaftungsstrategie verglichen und aus der Unternehmensperspektive bewertet. Dabei wird deutlich, dass sich mit einer simplen myopischen Strategie bereits gute Ergebnisse erzielen lassen, ab einer bestimmten Vertragsmenge und Vertragsflexibilität die Anwendung des LSMC Algorithmus jedoch deutlich vorteilhafter ist.
    Keywords: Swing Option ; Spot Optimization ; Least Squares Monte Carlo
    ISSN: 0343-5377
    E-ISSN: 1866-2765
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  • 7
    Language: English
    In: PLoS ONE, Dec 5, 2014, Vol.9(12)
    Description: Background Since image based diagnostic tools fail to detect early metastasis in head and neck squamous cell carcinoma (HNSCC) it is crucial to develop minimal invasive diagnostic methods. A promising approach is to identify and characterize circulating tumor cells (CTC) in the peripheral blood of HNSCC patients. In this pilot study, we assessed which non-hematopoietic cell types are identifiable and whether their numbers differ in pre- and postoperative blood samples. Methods 20 ml citrated peripheral blood was taken from 10 HNSCC patients before and after curative resection. CTC were enriched using density gradient centrifugation. CTC presence was verified by multi-immunofluorescence staining against cytokeratin (CK; epithelial), N-cadherin (mesenchymal); CD133 (stem-cell), CD45 (hematopoietic) and DAPI (nucleus). Individual cell type profiles were analyzed. Results We were able to detect cells with epithelial properties like CK+/N-cadherin-/CD45- and CK+/CD133-/CD45- as well as cells with mesenchymal features such as N-cadherin+/CK-/CD45- and cells with both characteristics like N-cadherin+/CK+/CD45-. We also observed cells showing stem cell-like features like CD133+/CK-/CD45- and cells with both epithelial and stem cell-like features such as CD133+/CK+/CD45-. The number of CK positive cells (p = 0.002), N-cadherin positive cells (p = 0.002) and CD133 positive cells (p = 0.01) decreased significantly after resection. Kaplan-Meier test showed that the survival was significantly shorter when N-cadherin+ cells were present after resection (p = 0.04; 474 vs. 235 days; [HR] = 3.1). Conclusions This is - to the best of our knowledge- the first pilot study identifying different CTC populations in peripheral blood of HNSCC patients and showing that these individual cell type profiles may have distinct clinical implications.
    Keywords: Squamous Cell Carcinoma – Care and Treatment
    ISSN: 1932-6203
    Source: Cengage Learning, Inc.
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  • 8
    Language: English
    In: PLoS ONE, Dec 5, 2014, Vol.9(12)
    Description: Background Since image based diagnostic tools fail to detect early metastasis in head and neck squamous cell carcinoma (HNSCC) it is crucial to develop minimal invasive diagnostic methods. A promising approach is to identify and characterize circulating tumor cells (CTC) in the peripheral blood of HNSCC patients. In this pilot study, we assessed which non-hematopoietic cell types are identifiable and whether their numbers differ in pre- and postoperative blood samples. Methods 20 ml citrated peripheral blood was taken from 10 HNSCC patients before and after curative resection. CTC were enriched using density gradient centrifugation. CTC presence was verified by multi-immunofluorescence staining against cytokeratin (CK; epithelial), N-cadherin (mesenchymal); CD133 (stem-cell), CD45 (hematopoietic) and DAPI (nucleus). Individual cell type profiles were analyzed. Results We were able to detect cells with epithelial properties like CK+/N-cadherin-/CD45- and CK+/CD133-/CD45- as well as cells with mesenchymal features such as N-cadherin+/CK-/CD45- and cells with both characteristics like N-cadherin+/CK+/CD45-. We also observed cells showing stem cell-like features like CD133+/CK-/CD45- and cells with both epithelial and stem cell-like features such as CD133+/CK+/CD45-. The number of CK positive cells (p = 0.002), N-cadherin positive cells (p = 0.002) and CD133 positive cells (p = 0.01) decreased significantly after resection. Kaplan-Meier test showed that the survival was significantly shorter when N-cadherin+ cells were present after resection (p = 0.04; 474 vs. 235 days; [HR] = 3.1). Conclusions This is - to the best of our knowledge- the first pilot study identifying different CTC populations in peripheral blood of HNSCC patients and showing that these individual cell type profiles may have distinct clinical implications.
    Keywords: Squamous Cell Carcinoma -- Care And Treatment ; Keratin ; Stem Cells
    ISSN: 1932-6203
    Source: Cengage Learning, Inc.
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  • 9
    Language: English
    In: 11th International Conference on the European Energy Market (EEM14), May 2014, pp.1-5
    Description: We construct a polynomial-based modification of the Gaussian quantile in order to derive a functional approximation of any symmetric quantile. Based on this formula we generate random numbers for pricing Asian options on three different oil products (Brent, Gas Oil and Fuel Oil) via Monte Carlo simulation. We find that standard Gaussian-based methods (commonly applied by market participants) underestimate the option value, and suggest to apply the method presented here.
    Keywords: Polynomials ; Approximation Methods ; Gaussian Distribution ; Pricing ; Monte Carlo Methods ; Time Series Analysis ; Standards ; Asian Options ; Monte Carlo Simulation ; Quantile Approximation
    ISBN: 9781479960941
    ISSN: 2165-4077
    E-ISSN: 21654093
    Source: IEEE Conference Publications
    Source: IEEE Xplore
    Source: IEEE Journals & Magazines 
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  • 10
    Book
    Book
    Erlangen-Nürnberg: Friedrich-Alexander-Universität Erlangen-Nürnberg, Institute for Economics
    Language: English
    Source: Deutsche Zentralbibliothek für Wirtschaftswissenschaften
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