Measuring the atmospheric organic aerosol volatility distribution: a theoretical analysis [PDF]
Atmospheric Measurement Techniques, 2014 Organic compounds represent a significant fraction of submicrometer atmospheric aerosol mass. Even if most of these compounds are semi-volatile in atmospheric concentrations, the ambient organic aerosol volatility is quite uncertain.
E. Karnezi, I. Riipinen, S. N. Pandis
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A Nonlinear Analysis of Forward Premium and Volatility [PDF]
Studies in Nonlinear Dynamics & Econometrics, 1997 In this paper we investigate the relationship between risk premium and a time-varying conditional variance of spot rate using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness hypothesis of the forward rate with a volatility dependent risk premium.
Hsu, Chiente, Kugler, Peter
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Forward Starting Option Pricing under Double Fractional Stochastic Volatilities and Jumps
Fractal and FractionalThis paper aims to provide an effective method for pricing forward starting options under the double fractional stochastic volatilities mixed-exponential jump-diffusion model.
Sumei Zhang, Haiyang Xiao, Hongquan Yong
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PRICE VOLATILITY, EXPECTATIONS AND MONETARY POLICY IN NIGERIA [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, 2009 The study has as its objectives, to determine the influence of price volatility and price expectation in the rate of inflation as a measure of the price level.
Ajimuda Olumide
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Estudios de Administración, 2003 In this paper i analyze the problem faced by an investor expecting to receive a cash flow in a foreign currency. The investor is assumed to be exposed to long-term exchange rate risk, having no access to long-term forward contracts to hedge perfectly ...
Augusto Castillo R.
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Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options [PDF]
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Egelkraut, Thorsten M., Garcia, Philip
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Interactions of Spot Foreign Exchange Markets among Taiwan, Hong Kong and Japan: Japanese Forward Premium/Discount as an Information Variable [PDF]
Management and Economics ReviewThis study takes the foreign exchange rates of Taiwan, Hong Kong and Japan as the research issue, and utilises the VEC GJR-Asymmetric GARCH model to analyse the interaction among spot exchange rates of these three countries.
Hsiang-Hsi LIU
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A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models
Risks, 2020 We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero +2 more
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Variance and Interest Rate Risk in Unit-Linked Insurance Policies
Risks, 2020 One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form.
David Baños +2 more
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MathematicsThis paper examines tail risk spillovers and cross-market volatility forecasting between the U.S. equity market and the crude oil market. Using realized and implied volatility within a heterogeneous autoregressive (HAR) framework, we document asymmetric ...
Shaocong Peng, Yun Shi
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