Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models [PDF]
arXiv, 2009 For a given time horizon DT, this article explores the relationship between the realized volatility (the volatility that will occur between t and t+DT), the implied volatility (corresponding to at-the-money option with expiry at t+DT), and several forecasts for the volatility build from multi-scales linear ARCH processes. The forecasts are derived from
arxiv
Computational Modeling of Reticular Materials: The Past, the Present, and the Future
Advanced Materials, EarlyView.Reticular materials are advanced materials with applications in emerging technologies. A thorough understanding of material properties at operating conditions is critical to accelerate the deployment at an industrial scale. Herein, the status of computational modeling of reticular materials is reviewed, supplemented with topical examples highlighting ...
Wim Temmerman +3 more
wiley +1 more source
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
doaj +1 more source
Natural volatility and option pricing [PDF]
In this paper we recover the Black-Scholes and local volatility pricing engines in the presence of an unspecified, fully stochastic volatility. The input volatility functions are allowed to fluctuate randomly and to depend on time to expiration in a ...
Carey, Alexander
core +1 more source
Supramolecular Chemistry in Metal–Organic Framework Materials
Advanced Materials, EarlyView.This review highlights synergies between reticular chemistry and supramolecular chemistry. The role of supramolecular interactions in determining framework…guest interactions and attempts to understand dynamic behavior in metal–organic frameworks (MOFs), particularly emphasizing the development of crystal sponges, studying reactions in frameworks and ...
Eugenia Miguel‐Casañ +3 more
wiley +1 more source
The effect of parallel OTC-DVP bond market introduction on yield curve volatility [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2006 The goal of this paper is to analyze the effect of OTC-DVP (over the counter delivery versus payment) fixed income market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yields and forward interest rates ...
Andraž Grum
doaj
Advanced Materials, EarlyView.The halide postdeposition process is optimized by engineering blue mixed‐halide 3D perovskites with acetate‐rich surfaces. This engineered perovskite minimizes the washing effect of isopropanol, which slows down surface reconstruction and ultimately promotes the formation of a uniform mixed‐halide perovskite phase.
Aqiang Liu +6 more
wiley +1 more source
Volatility spillover and hedging strategies between the European carbon emissions and energy markets
Energy Strategy Reviews, 2023 Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration.
Jian Liu +3 more
doaj
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
doaj +1 more source
THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET [PDF]
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the
Egelkraut, Thorsten M. +2 more
core +1 more source