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Full-Text Articles in Multivariate Analysis
Portfolio Optimization Analysis In The Family Of 4/2 Stochastic Volatility Models, Yuyang Cheng
Portfolio Optimization Analysis In The Family Of 4/2 Stochastic Volatility Models, Yuyang Cheng
Electronic Thesis and Dissertation Repository
Over the last two decades, trading of financial derivatives has increased significantly along with richer and more complex behaviour/traits on the underlying assets. The need for more advanced models to capture traits and behaviour of risky assets is crucial. In this spirit, the state-of-the-art 4/2 stochastic volatility model was recently proposed by Grasselli in 2017 and has gained great attention ever since. The 4/2 model is a superposition of a Heston (1/2) component and a 3/2 component, which is shown to be able to eliminate the limitations of these two individual models, bringing the best out of each other. Based …
Intra-Hour Solar Forecasting Using Cloud Dynamics Features Extracted From Ground-Based Infrared Sky Images, Guillermo Terrén-Serrano
Intra-Hour Solar Forecasting Using Cloud Dynamics Features Extracted From Ground-Based Infrared Sky Images, Guillermo Terrén-Serrano
Electrical and Computer Engineering ETDs
Due to the increasing use of photovoltaic systems, power grids are vulnerable to the projection of shadows from moving clouds. An intra-hour solar forecast provides power grids with the capability of automatically controlling the dispatch of energy, reducing the additional cost for a guaranteed, reliable supply of energy (i.e., energy storage). This dissertation introduces a novel sky imager consisting of a long-wave radiometric infrared camera and a visible light camera with a fisheye lens. The imager is mounted on a solar tracker to maintain the Sun in the center of the images throughout the day, reducing the scattering effect produced …