We compare two well-known examples of stochastic volatility models, the Heston model and the Hull-White model. We derive the stationary probability density distribution of the variance. In addition, we apply this stationary solution to the probability density distribution of the logarithmic returns
Application of Dobson and Smith's solar radiation model to German Bight data
โ Scribed by A. Moll; G. Radach
- Publisher
- John Wiley and Sons
- Year
- 1991
- Tongue
- English
- Weight
- 401 KB
- Volume
- 117
- Category
- Article
- ISSN
- 0035-9009
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โฆ Synopsis
Abstract
The model for global radiation at the sea surface proposed by Dobson and Smith was tested for the Inner German Bight, North Sea with an 18โyear time series of 3โhourly measurements of cloudiness and daily global radiation. The model, with unchanged parameters that were originally derived for oceanic stations, is suitable for use in coastal seas and seems best suited for simulating global radiation for long timeโscales. Modelled monthly means of global radiation deviate from the measured monthly means by less than 5% except for June and July (11%), two months with large solar insolation. For short timeโscales, rootโmeanโsquare errors from 14% (for 10 days) to 24% (for 1 day) occur. The application of the bulk model will be particularly useful to researchers working in the marine coastal areas of northern Europe.
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