Results 31 to 40 of about 118,948 (346)
Using CAViaR models with implied volatility for value-at-risk estimation [PDF]
, 2013 This paper proposes VaR estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility.
Jeon, Jooyoung, Taylor, James
core +1 more source
Investors’ net buying pressure and implied volatility dynamics
Borsa Istanbul Review, 2022 This study reexamines the influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday ...
Doojin Ryu +3 more
doaj +1 more source
From characteristic functions to implied volatility expansions [PDF]
, 2014 For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in the log ...
Jacquier, Antoine, Lorig, Matthew
core +1 more source
ESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO
E-Jurnal Matematika, 2018 Investing among investors is an exciting activity to gain profit in the financial world. The development of investment in the financial world affects the number of alternative investment instruments that can be offered to investors in the capital market.
MAKBUL MUFLIHUNALLAH +2 more
doaj +1 more source
FEBS Letters, EarlyView.The Ile181Asn variant of human UDP‐xylose synthase (hUXS1), associated with a short‐stature genetic syndrome, has previously been reported as inactive. Our findings demonstrate that Ile181Asn‐hUXS1 retains catalytic activity similar to the wild‐type but exhibits reduced stability, a looser oligomeric state, and an increased tendency to precipitate ...
Tuo Li +2 more
wiley +1 more source
Proceedings, 2020 Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach to determine the Black–Scholes implied ...
Shuaiqiang Liu +3 more
doaj +1 more source
Dynamic co-movements of stock market returns, implied volatility and policy uncertainty [PDF]
, 2013 We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.
Antonakakis, N. +2 more
core +1 more source
FEBS Open Bio, EarlyView.CRISPRI‐mediated gene silencing and phenotypic exploration in nontuberculous mycobacteria. In this Research Protocol, we describe approaches to control, monitor, and quantitatively assess CRISPRI‐mediated gene silencing in M. smegmatis and M. abscessus model organisms.
Vanessa Point +7 more
wiley +1 more source
Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices
Stats, 2023 In this paper, we conducted an empirical investigation of the realized volatility of cryptocurrencies using an econometric approach. This work’s two main characteristics are: (i) the realized volatility to be forecast filters jumps, and (ii) the benefit ...
Julien Chevallier, Bilel Sanhaji
doaj +1 more source
Process‐Informed Analysis of As‐Built Metal Additive Surface Features
Advanced Engineering Materials, EarlyView.This article introduces a novel method for feature‐based surface texture characterisation directly incorporating manufacturing variables into the feature extraction workflow. This marks a major step towards identifying process‐specific surface properties and their influence on part function and hence a holistic understanding of process–structure ...
Theresa Buchenau +5 more
wiley +1 more source