Results 261 to 270 of about 186,810 (309)
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Testing range estimators of historical volatility
Journal of Futures Markets, 2006AbstractThis study investigates the relative performance of various historical volatility estimators that incorporate daily trading range: M. Parkinson (1980), M. Garman and M. Klass (1980), L. C. G. Rogers and S. E. Satchell (1991), and D. Yang and Q. Zhang (2000). It is found that the range estimators all perform very well when an asset price follows
Shu, J, Zhang, JE
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Non-parametric estimation of historical volatility
Quantitative Finance, 2004Evolving volatility is a dominant feature observed in most financial time series and a key parameter used in option pricing and many other financial risk analyses. A number of methods for non-parametric scale estimation are reviewed and assessed with regard to the stylized features of financial time series. A new non-parametric procedure for estimating
John A Randal 3 +2 more
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MULTIFRACTAL ANALYSIS WITH DETRENDING WEIGHTED AVERAGE ALGORITHM OF HISTORICAL VOLATILITY
Fractals, 2021In this paper, we develop the multifractal detrending weighted average algorithm of historical volatility (MF-DHV) for one-dimensional multifractal measure based on the classical multifractal detrended fluctuation analysis (MF-DFA). In the calculation process of getting a local trend for MF-DHV, historical volatility is taken to develop an moving ...
JIAN WANG, WEI SHAO
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Ranking Refactoring Suggestions Based on Historical Volatility
2011 15th European Conference on Software Maintenance and Reengineering, 2011The widespread acceptance of refactorings as a simple yet effective approach to improve the design of object-oriented systems, has stimulated an effort to develop semi-automatic tools for detecting design flaws, with simultaneous suggestions for their removal.
Nikolaos Tsantalis +1 more
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Spurious Volatility in Historical Unemployment Data
Journal of Political Economy, 1986This paper shows that the stabilization of the unemployment rate between the pre-1930 and post-1948 eras is an artifact of improvements in data collection procedures. Prewar methods are used to construct postwar unemployment data that are consistent with the historical data.
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A General Volatility Framework and the Generalised Historical Volatility Estimator
2017This study proposes a new approach to the estimation of the time series properties of daily volatility in financial markets. The estimation technique is a two stage procedure which initially estimates the volatility of any particular trading day from intraday data. This procedure is implemented over a number of trading days to produce a series of daily
Bollen, Bernard, Inder, Brett A.
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A General Volatility Framework and the Generalised Historical Volatility Estimator
1998This study proposes a new approach to the estimation of the time series properties of daily volatility in financial markets. The estimation technique is a two stage procedure which initially estimates the volatility of any particular trading day from intraday data. This procedure is implemented over a number of trading days to produce a series of daily
Bollen, Bernard +3 more
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Historical Photometric Evidence for Volatile Migration on Triton
Icarus, 1994Analysis of CCD images of Triton obtained with the 1.5-m telescope on Palomar Mountain shows that in the time period surrounding the Voyager 2 encounter with the satellite (1985-1990), no changes in the satellite's visual albedo or color occurred. The published observations of Triton in the 0.35- to 0.60-micrometer spectral region obtained between 1950
Bonnie J. Buratti +3 more
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Environmental Toxicology and Chemistry, 1998
Abstract A study was conducted as a preliminary characterization of the ability of Aroclor® 1248 polychlorinated biphenyl (PCB)-contaminated sediments to volatilize PCBs into the air upon drying under conditions meant to be environmentally relevant. Sediments collected from the St. Lawrence River contained high levels (-600 ppm) of PCBs.
Sean P. Bushart +3 more
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Abstract A study was conducted as a preliminary characterization of the ability of Aroclor® 1248 polychlorinated biphenyl (PCB)-contaminated sediments to volatilize PCBs into the air upon drying under conditions meant to be environmentally relevant. Sediments collected from the St. Lawrence River contained high levels (-600 ppm) of PCBs.
Sean P. Bushart +3 more
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A Mixed Historical Formula to forecast volatility
Journal of Asset Management, 2009This study presents a new methodology for forecasting volatility. It relies on a weighted mean of short and long estimates of variance, based on a Moving Average framework. The quality of the predictions obtained with the proposed formula was checked with both simulated and real data.
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