The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley +1 more source
The Capacity Gains of Gaussian Channels with Unstable Versus Stable Autoregressive Noise. [PDF]
Entropy (Basel)Charalambous CD +3 more
europepmc +1 more source
Quadratic Hedging of American Options Under GARCH Models
Journal of Futures Markets, EarlyView.ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley +1 more source
A sensor-fault resilient artificial pancreas using type-3 fuzzy logic and predictive controls. [PDF]
Sci RepMai VT +3 more
europepmc +1 more source
An LMI Based Criterion for Global Asymptotic Stability of Discrete-Time State-Delayed Systems with Saturation Nonlinearities. [PDF]
Int Sch Res Notices, 2014 Kokil P.
europepmc +1 more source
The Impact of Democratization and Globalization on Environmental Sustainability in Brazil
Geological Journal, EarlyView.Fossil fuel, economic globalisation, and economic growth drive environmental degradation while democratisation positively influences environmental quality. ABSTRACT Although Brazil still possesses significant ecological reserves, the surplus in its biocapacity has been rapidly declining in recent years.
Mustafa Naimoğlu +3 more
wiley +1 more source
Second-order asymptotics of fractional Gagliardo seminorms as s → 1 - and convergence of the associated gradient flows. [PDF]
Fract Calc Appl AnalKubin A, Pagliari V, Tribuzio A.
europepmc +1 more source
How (not) to Cage an Electron: The Perfluoro Cage Effect as an Extrinsic Molecular Property
Helvetica Chimica Acta, EarlyView.A rigorous definition within Kohn–Sham density functional theory is presented for the notion of an caged electron inside perfluorinated fullerenes as radical anions. ABSTRACT The notion of a (molecular) electron cage was coined for the unique hosting capacity of perfluorocubane, suggesting the “encapsulation of an electron” within the highly symmetric ...
Andreas Riedmiller +2 more
wiley +1 more source
Understanding the impacts of extreme weather on biological control through traveling wave analysis of a prey-predator model. [PDF]
Sci RepAktar MS +4 more
europepmc +1 more source