Results 21 to 30 of about 186,810 (309)

A New Approach to Build a Successful Straddle Strategy: The Analytical Option Navigator

Risks
The study described in this paper develops a new technique which permits the execution of an open straddle strategy based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the volatility of an
Orkhan Rustamov, Fuzuli Aliyev, Richard Ajayi, Elchin Suleymanov   +3 more
doaj   +1 more source

Historical Backtesting of Local Volatility Model Using AUD/USD Vanilla Options [PDF]

SSRN Electronic Journal, 2015
The local volatility model is a well-known extension of the Black–Scholes constant volatility model, whereby the volatility is dependent on both time and the underlying asset. This model can be calibrated to provide a perfect fit to a wide range of implied volatility surfaces.
Timothy Gregory Ling, Pavel Shevchenko
openaire   +3 more sources

Where is the Risk Reward? The Impact of Volatility-Based Fund Classification on Performance

Risks, 2018
This paper examines the impact of volatility-based fund classification on portfolio performance. Using historical data on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk Reward ...
Martin Ewen
doaj   +1 more source

UK macroeconomic volatility: Historical evidence over seven centuries [PDF]

Journal of Policy Modeling, 2018
Abstract Breaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270–2016 — the entire economic history of the U.K. Focusing on permanent and transitory shocks in the economy, we study the fluctuation in conditional volatilities and time-varying long-run responses of output ...
Plakandaras, Vasilios, Gupta, Rangan, Wohar, Mark E.   +2 more
openaire   +2 more sources

Volatility Forecasting for High-Frequency Financial Data Based on Web Search Index and Deep Learning Model

Mathematics, 2021
The existing index system for volatility forecasting only focuses on asset return series or historical volatility, and the prediction model cannot effectively describe the highly complex and nonlinear characteristics of the stock market.
Bolin Lei, Boyu Zhang, Yuping Song
doaj   +1 more source

Somatic mutational landscape in von Hippel–Lindau familial hemangioblastoma

Molecular Oncology, EarlyView.
The causes of central nervous system (CNS) hemangioblastoma in Von Hippel–Lindau (vHL) disease are unclear. We used Whole Exome Sequencing (WES) on familial hemangioblastoma to investigate events that underlie tumor development. Our findings suggest that VHL loss creates a permissive environment for tumor formation, while additional alterations ...
Maja Dembic, Anne Nørremølle, Lilian Bomme Ousager, Lars van Brakel Andersen, Marie Louise Mølgaard Binderup, Mads Thomassen   +5 more
wiley   +1 more source

Perceived Impacts and Predictors of Cannabis Products used by Rheumatology Patients in Alberta: A Multivariable Analysis of Cross‐sectional Survey Data

Arthritis Care &Research, Accepted Article.
Objective This study aimed to characterize cannabis product choices (cannabinoid content and formulation) among rheumatology patients, and their associations with patient factors, patient reported perceived side effects and positive impacts. Methods An online survey (delivered from March to November 2022) was distributed by Alberta Health Services to ...
Susan Zhang, Samuel A.J. Lowe, Frank Sun, Allyson Jones, Tarek Turk, Joanne Olson, Pauline Paul, Shelby Yamamoto, Linda Kolewaski, Elaine Yacyshyn, Cheryl A. Sadowski   +10 more
wiley   +1 more source

Historical Volatility and NIFTY Returns: A Multi-timeframe Analysis Using ARDL Models

NMIMS Management Review
Historical trends are widely analysed in financial market research for their long-term influence on stock indices. The current research examines the impact of historical volatility on NIFTY 50 returns on the basis of daily data from 2009 to 2025.
Preeti Sharma, Rimple Manchanda
doaj   +1 more source

Influence of Sample Preparation and Processing Procedures on the Thermal Diffusivity of MgO‐C Refractories

Advanced Engineering Materials, EarlyView.
The thermal diffusivity of MgO‐C refractories is highly sensitive to sample preparation and processing procedures. In this article, the effects of coking sequence, machining conditions, structural inhomogeneity, and graphite coating application on measurements using laser flash apparatus are systematically investigated.
Luyao Pan, Rhena Wulf, Till M. J. Stadtmüller, Christos G. Aneziris, Tobias M. Fieback   +4 more
wiley   +1 more source

PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON

E-Jurnal Matematika, 2018
Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI, KOMANG DHARMAWAN, LUH PUTU IDA HARINI   +2 more
doaj   +1 more source