Results 131 to 140 of about 2,168,507 (360)
Double-jump stochastic volatility model for VIX: evidence from VVIX [PDF]
arXiv, 2015 The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear relation between the stochastic volatility factor and VVIX index.
arxiv
Advanced Materials Interfaces, EarlyView.Polyvinyl pyrrolidone passivation enhances TiO2/CsPbI2Br interfaces, suppressing recombination and improving photodetector performance with faster response, higher photoresponsivity, and superior detectivity. Abstract Inorganic perovskites hold immense promise for optoelectronic applications, but their performance is often hindered by defects and trap ...
Shruti Shah +12 more
wiley +1 more source
Media Statistika, 2014 High fluctuations in stock returns is one problem that is considered by the investors. Therefore we need a model that is able to predict accurately the volatility of stock returns.
Hasbi Yasin, Suparti Suparti
doaj +1 more source
Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures [PDF]
This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005.
Colavecchio , Roberta, Funke, Michael
core
Advanced Materials Technologies, EarlyView.This review provides an in‐depth overview of the design principles and optimization strategies for terahertz (THz) metamaterials (MMs) sensors based on the dielectric perturbation theory. Various structures and methods are explored to enhance sensor performance, focusing on improving sensitivity and Q‐factor.
Lei Cao +9 more
wiley +1 more source
Deep calibration of rough stochastic volatility models [PDF]
arXiv, 2018 Sparked by Al\`os, Le\'on, and Vives (2007); Fukasawa (2011, 2017); Gatheral, Jaisson, and Rosenbaum (2018), so-called rough stochastic volatility models such as the rough Bergomi model by Bayer, Friz, and Gatheral (2016) constitute the latest evolution in option price modeling.
arxiv
Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets [PDF]
This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates.
Colavecchio , Roberta, Funke, Michael
core
Investment volatility: A critique of standard beta estimation and a simple way forward [PDF]
, 2006 Chris Tofallis
openalex +1 more source
Advanced Materials Technologies, EarlyView.A stretchable and bendable resistance sensor made predominantly from sustainable and biodegradable components is conductive courtesy a water soluble self‐doped conjugated polymer. The wearable sensor measures micromovements by changes in its resistance and it can track both human movement and phonation. Abstract Sustainable electronic devices offer the
Cephas Amoah +2 more
wiley +1 more source
Modelling and Estimating the Forward Price Curve in the Energy Market [PDF]
The stochastic or random nature of commodity prices plays a central role in models for valuing financial contingent claims on commodities. In this paper, by enhancing a multifactor framework which is consistent not only with the market observable forward
Boda Kang, Carl Chiarella, Les Clewlow
core