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Dynamic hedging in Markov regimes
(2008-10-02)
This dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and ...
Uncertainty times for portfolio selection at financial market
(2018-03)
The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model ...
Predictive control of a closed grinding circuit system in cement industry
(2018)
This paper presents the development of a nonlinear model predictive controller (NMPC) applied to a closed grinding circuit system in the cement industry. A Markov chain model is used to characterize the cement grinding ...
Labor market segmentation using Stochastic Markov chains
(Universidad IcesiFacultad de Ciencias Administrativas y Económicas, 2009-12-01)