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View article: The epidemiological impact of media campaigns on the dynamics of HIV transmission model
The epidemiological impact of media campaigns on the dynamics of HIV transmission model Open
In this paper, we present a comprehensive HIV transmission model that incorporates the influence of media campaigns. Our model aims to explore the relationship between media campaigns and disease spread by deriving the basic reproduction n…
View article: A Hybrid Approach for Predicting Probability of Default in Peer-to-Peer (P2P) Lending Platforms Using Mixture-of-Experts Neural Network
A Hybrid Approach for Predicting Probability of Default in Peer-to-Peer (P2P) Lending Platforms Using Mixture-of-Experts Neural Network Open
Peer-to-peer (P2P) lending offers an alternative way to access credit. Unlike established lending institutions with proven credit risk management practices, P2P platforms rely on numerous independent variables to evaluate loan applicants' …
View article: A Lightweight Convolutional Neural Network with Hierarchical Multi-Scale Feature Fusion for Image Classification
A Lightweight Convolutional Neural Network with Hierarchical Multi-Scale Feature Fusion for Image Classification Open
Convolutional neural networks (CNNs) are widely used in image classification tasks, but their increasing model size and computation make them challenging to implement on embedded systems with constrained hardware resources. To address this…
View article: A Jump Diffusion Model with Fast Mean-Reverting Stochastic Volatility for Pricing Vulnerable Options
A Jump Diffusion Model with Fast Mean-Reverting Stochastic Volatility for Pricing Vulnerable Options Open
The Black–Scholes–Merton option pricing model is a classical approach that assumes that the underlying asset prices follow a normal distribution with constant volatility. However, this assumption is often violated in real-world financial m…
View article: Classical Approach to Zero-Inflated Dynamic Panel Ordered Probit Model with an Application in Drug Abuse
Classical Approach to Zero-Inflated Dynamic Panel Ordered Probit Model with an Application in Drug Abuse Open
The Zero inflated ordered categorical data with time series structure are often a characteristic of behavioral research attributed to non-participation decision and zero consumption of substance such as drugs among the participants. The ex…
View article: Different Types of Structure Conditions of Semimartingale with Jacod Decomposition
Different Types of Structure Conditions of Semimartingale with Jacod Decomposition Open
The objective of this article is to use Jacod decomposition to develop different types of semimartingale structure conditions. We make the following contributions to that end: When a continuous semimartingale meets the structure condition …
View article: Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model
Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model Open
This work shown as the fuzzy-EGARCH-ANN (fuzzy-exponential generalized autoregressive conditional heteroscedastic-artificial neural network) model does not require continuous model calibration if the corresponding DE algorithm is used appr…
View article: Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement
Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement Open
In this paper, we propose an extreme conditional quantile estimator. Derivation of the estimator is based on extreme quantile autoregression. A noncrossing restriction is added during estimation to avert possible quantile crossing. Consist…
View article: Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression
Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression Open
In this paper, we present an estimator that improves the well-calibrated coherent risk measure: expected shortfall by restructuring its functional form to incorporate dynamic weights on extreme conditional quantiles used in its definition.…
View article: Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order <i>q</i> and Order Zero
Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order <i>q</i> and Order Zero Open
Generally in this paper, we show how the new version of parameter in Jacod decomposition will change an expression of entropy-Hellinger process of order one, order q and order zero and consequently an equation of minimal entropy Hellinger …
View article: A Spatial-Nonparametric Approach for Prediction of Claim Frequency in Motor Insurance
A Spatial-Nonparametric Approach for Prediction of Claim Frequency in Motor Insurance Open
Spatial modeling has largely been applied in epidemiology and disease modeling. Different methods such as Generalized linear models (GLMs) have been made available to prediction of the claim frequencies. However, due to heterogeneity natur…
View article: Functional Time Series Analysis of Land Surface Temperature
Functional Time Series Analysis of Land Surface Temperature Open
Parametric modeling imposes rigid assumption on abstraction of physical characteristics of a phenomenon, which in case of model misspecification could give erroneous results. To address the drawbacks, efforts have been channeled on semi-pa…
View article: Penalized Maximum Likelihood Estimation of Semiparametric Generalized Linear Models with Application to Climate Temperature Data
Penalized Maximum Likelihood Estimation of Semiparametric Generalized Linear Models with Application to Climate Temperature Data Open
Global temperature change is an important indicator of climate change.Climate time series data are characterized by trend, seasonal/cyclical as well as irregular components.Adequately modeling these components cannot be overemphasized.In t…
View article: Improving Forecasts of the EGARCH Model Using Artificial Neural Network and Fuzzy Inference System
Improving Forecasts of the EGARCH Model Using Artificial Neural Network and Fuzzy Inference System Open
This paper proposes an innovative semiparametric nonlinear fuzzy-EGARCH-ANN model to solve the problem of accurate modeling for forecasting stock market volatility. This model has been developed by a combination of the FIS, ANN, and EGARCH…
View article: Modeling Exchange Rate Volatility Dynamics of the Great Britain Pound to Ethiopian Birr Using the Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model
Modeling Exchange Rate Volatility Dynamics of the Great Britain Pound to Ethiopian Birr Using the Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model Open
In this paper, a robust analysis of volatility forecasting of the GBP-ETB exchange rate was provided using weekly data spanning the period June 30, 2003-January 24, 2020. To our knowledge, this was the first study that focuses on the GBP-E…
View article: Volatility Spillover Effects among Securities Exchanges in East Africa
Volatility Spillover Effects among Securities Exchanges in East Africa Open
This paper aims at examining volatility spillover effects among the returns of three out of the four securities exchanges in East Africa. Vector autoregressive model was used to model return series evolution; and, Johansen co-integration t…
View article: Portfolio Optimization in Jump Model under Inefficiencies in the Market
Portfolio Optimization in Jump Model under Inefficiencies in the Market Open
This paper evaluates the use of modeling approach that depends on Levy jump model to predict investors wealth under inefficiencies in the market, in terms of mispricing and asymmetric information where the traded stock or risky asset price…