Results 111 to 120 of about 184,275 (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 Healthcare Materials, EarlyView.NeoCast is a next‐generation, solvent‐free, non‐adhesive liquid embolic designed for indications where deep occlusion is desired (e.g., tumors and chronic subdural hematoma). This novel agent offers ideal embolic properties: injectability, controllability, excellent visibility, and biocompatibility.
Quynh P. Pham +16 more
wiley +1 more source
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
Designing for Degradation: Transient Devices Enabled by (Nano)Cellulose
Advanced Materials, EarlyView.Recent progress in transient devices enabled by (nano)cellulosic materials is reviewed. Transiency mechanisms, advantages of nanocelluloses, and a suite of applications are discussed. A circular thinking approach coupled with life cycle assessment is applied to critically revisit the potential, advantages, and challenges of nanocellulose‐enabled ...
Lucas J. Andrew +2 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
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 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 Materials, EarlyView.This review examines the fluid dynamic behavior within carbonaceous porous structures, linking structural characteristics to electrolyte transport and electrochemical performance. Specifically, it quantitatively assesses the effect of polyphenol derivatives‐harnessed multiscale pore structures on active surface utilization and electrochemical activity ...
Minjun Kim +3 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