Zobrazeno 1 - 10
of 1 015
pro vyhledávání: '"Shevchenko, P. V."'
In the analysis of commodity futures, it is commonly assumed that futures prices are driven by two latent factors: short-term fluctuations and long-term equilibrium price levels. In this study, we extend this framework by introducing a novel state-sp
Externí odkaz:
http://arxiv.org/abs/2412.05889
Autor:
Malavasi, Matteo, Peters, Gareth W., Treuck, Stefan, Shevchenko, Pavel V., Jang, Jiwook, Sofronov, Georgy
Cyber risk classifications are widely used in the modeling of cyber event distributions, yet their effectiveness in out of sample forecasting performance remains underexplored. In this paper, we analyse the most commonly used classifications and argu
Externí odkaz:
http://arxiv.org/abs/2410.05297
In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic factors. In this work, we develop the family of stochastic models usi
Externí odkaz:
http://arxiv.org/abs/2409.19386
PDSim is an R package that enables users to simulate commodity futures prices using the polynomial diffusion model introduced in Filipovic and Larsson (2016) through both a Shiny web application and R scripts. It also provides state variables and con
Externí odkaz:
http://arxiv.org/abs/2409.19385
Autor:
Achenbach, P., Aoki, K., Aoki, S., Curceanu, C., Diehl, S., Doi, T., Endo, M., Fujita, M., Fukuda, T., Garcia-Tecocoatzi, H., Geng, L. S., Gunji, T., Hanhart, C., Harada, M., Harada, T., Hayakawa, S., He, B. R., Hiyama, E., Honda, R., Ichikawa, Y., Isaka, M., Jido, D., Jinno, A., Kamada, K., Kamiya, Y., Kong, Y. K., Liu, Z. W., Lu, J. X., Miwa, K., Mizutani, K., Murakami, K., Muto, R., Murase, K., Nagao, S., Nanamura, T., Nanjo, H., Nara, Y., Ohnishi, A., Qiu, J. W., Sakaguchi, A., Sakuma, F., Santopinto, E., Scordo, A., Sekihara, T., Seong, C., Shevchenko, N. V., Stone, J. R., Strakovsky, I., Suzuki, K., Takahashi, H., Takizawa, M., Tamura, H., Tomida, N., Umeya, A., Doce, O. Vázquez, Yamagata-Sekihara, J., Yamamoto, T. O., Xiao, Y., Yin, Z., Yu, Z., Zou, B. S.
The mini proceedings of the "Fourth International Workshop on the Extension Project for the J-PARC Hadron Experimental Facility (HEF-ex 2024) [https://kds.kek.jp/event/46965]" held at J-PARC, February 19-21, 2024, are presented. The workshop was devo
Externí odkaz:
http://arxiv.org/abs/2409.00366
The Nelson-Siegel model is widely used in fixed income markets to produce yield curve dynamics. The multiple time-dependent parameter model conveniently addresses the level, slope, and curvature dynamics of the yield curves. In this study, we present
Externí odkaz:
http://arxiv.org/abs/2409.00348
Autor:
Arandjelović, Aleksandar, Shevchenko, Pavel V., Matsui, Tomoko, Murakami, Daisuke, Myrvoll, Tor A.
Stochastic versions of recursive integrated climate-economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of stochastic shocks increases, solving these models as dynamic progra
Externí odkaz:
http://arxiv.org/abs/2408.09642
Assessing climate risk and its potential impacts on our cities and economies is of fundamental importance. Extreme weather events, such as hurricanes, floods, and storm surges can lead to catastrophic damages. We propose a flexible approach based on
Externí odkaz:
http://arxiv.org/abs/2402.02745
Autor:
Shevchenko, N. V.
Characteristics of the quasi-bound state in the $K^- pp$ system strongly depend on the model of antikaon-nucleon interaction and weakly - on the nucleon-nucleon potential. In the present paper, dynamically exact Faddeev-type calculations with coupled
Externí odkaz:
http://arxiv.org/abs/2401.10693
Autor:
Trushkin, S. A., Shevchenko, A. V., Bursov, N. N., Tsybulev, P. G., Nizhel'skii, N. A., Borisov, A. N., Kudryashova, A. A.
Publikováno v:
Astrophysical Bulletin, vol. 78, issue 2, pp. 225-233, 2023
We have been performing daily observations of bright microquasars at 1.2-20~GHz with the Northern sector of RATAN-600 radio telescope for more than ten years. During the 2019--2021 observations we recorded bright flares, which we call giant flares be
Externí odkaz:
http://arxiv.org/abs/2311.13239