Results 111 to 120 of about 187,533 (367)
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets [PDF]
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices.
Bent Jesper Christensen +2 more
core
Advanced Functional Materials, EarlyView.This study explores an eco‐friendly solvent with 1,3‐dimethyl‐2‐imidazolidinone for developing perovskite ink, enhancing grain size and formation of purer phase perovskite. The inkjet‐printed perovskite solar cells demonstrated a remarkable improvement in device power conversion efficiency from 14.6% to almost 17.8%, highlighting sustainable innovation
Vinayak Vitthal Satale +6 more
wiley +1 more source
COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover. [PDF]
Financ Res Lett, 2022 Di M, Xu K.
europepmc +1 more source
The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices [PDF]
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for ...
Bent Jesper Christensen +1 more
core
Advanced Functional Materials, EarlyView.Asymmetric nanofiber membranes are constructed for simultaneous moisture adsorption and catalytic hydrolysis of dimethyl 4‐nitrophenyl phosphate (DMNP) in a wide range of relative humidity. The membrane exhibits high moisture adsorption capacity and fast hygroscopic rate.
Xuejiao Wang +6 more
wiley +1 more source
Borsa Istanbul Review, 2022 This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches.
Zeynep İltüzer
doaj
Comparative Study of Two Extensions of Heston Stochastic Volatility Model [PDF]
arXiv, 2019 In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and calibration of implied volatility is the addition of a few other factors to the volatility process.
arxiv
The skew pattern of implied volatility in the DAX index options market [PDF]
The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to moneyness and option type and to compare the latter option based forecasts with historical volatility in order to see if they subsume ...
Silvia Muzzioli
core
Double Helical Plasmonic Antennas
Advanced Functional Materials, EarlyView.Plasmonic double helical antennas funnel circularly polarized light to the nanoscale, offering strong chiroptical interaction and directional light emission. Extending a single helix design tool, this study combines numerical modeling with experimental validation, revealing large, broadband dissymmetry factors in the visible range.
Aleksei Tsarapkin +7 more
wiley +1 more source
A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets [PDF]
arXiv, 2020 We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform much better than other models.
arxiv