1 citations · 1 across the 4 of their papers we have counts for
4 papers
The "Rough" HAR Model
Mikkel Bennedsen, Kim Christensen, Peter Korsbakke Christensen +2
This paper proposes discrete-time approximations to rough continuous-time models of realized variance (RV). The leading rough models can be viewed as autoregressive processes drive…
Optimal Estimation for General Gaussian Processes
Tetsuya Takabatake, Jun Yu, Chen Zhang
This paper proposes a novel exact maximum likelihood (ML) estimation method for general Gaussian processes, where all parameters are estimated jointly. The exact ML estimator (MLE)…
Surface charge density wave in UTe2
Pablo García Talavera, Miguel Águeda Velasco, Makoto Shimizu +12
The spatially uniform electronic density characteristic of a metal can become unstable at low temperatures, leading to the formation of charge density waves (CDWs). These CDWs, obs…
Calibrating the Heston model with deep differential networks
Giovanni Amici, Marco Morandotti, Chen Zhang
We propose a gradient-based deep learning framework to calibrate the Heston option pricing model (Heston, 1993). Our neural network, henceforth deep differential network (DDN), lea…