Results 51 to 60 of about 187,533 (367)
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
Roughness of the Implied Volatility
, 2022 The measures of roughness of the volatility in the litterature are based on the realized volatility of high frequency data. Some authors show that this leads to a biased estimate, and does not necessarily indicate roughness of the underlying volatility process.
openaire +2 more sources
Advanced Engineering Materials, EarlyView.Developing process parameters for the laser‐based Powder Bed Fusion of metals can be a tedious task. Based on melt pool depth, the process parameters are transferable to different laser scan speeds. For this, understanding the melt pool scaling behavior is essential, particularly for materials with high thermal diffusivity, as a change in scaling ...
Markus Döring +2 more
wiley +1 more source
Advanced Engineering Materials, EarlyView.Hybrid materials enable high‐performance components but are challenging to process. This study explores an inductive heating concept with spray cooling for steel–aluminum specimens in a two‐step process including friction welding and cup backward extrusion.
Armin Piwek +7 more
wiley +1 more source
Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?
Revista Brasileira de Finanças, 2009 The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented,
Claudio Henrique Barbedo +2 more
doaj
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
International Journal of Energy Economics and Policy, 2023 This paper investigates the leverage effect of local realised exchange rate volatility and implied volatilities in energy market on exchange rate returns in BRICS for the period May 7, 2012 to March 31, 2022, using the quantile regression technique ...
Thobekile Qabhobho
doaj +1 more source
Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures [PDF]
, 2015 In this article, we look at the effect of volatility clustering on the risk indifference price of options described by Sircar and Sturm in their paper (Sircar, R., & Sturm, S. (2012). From smile asymptotics to market risk measures. Mathematical Finance. Advance online publication. doi:10.1111/mafi.12015).
arxiv +1 more source
Implied Volatility Functions: Empirical Tests [PDF]
IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr), 1996 Abstract Expected future volatility plays a central role in finance theory. Consequently, accurately estimating this parameter is crucial to meaningful financial decision making. Finance researchers generally rely on the past behavior of asset prices to develop expectations about volatility, documenting movements in volatility as they ...
Bernard Dumas +2 more
openaire +4 more sources
Beyond Order: Perspectives on Leveraging Machine Learning for Disordered Materials
Advanced Engineering Materials, EarlyView.This article explores how machine learning (ML) revolutionizes the study and design of disordered materials by uncovering hidden patterns, predicting properties, and optimizing multiscale structures. It highlights key advancements, including generative models, graph neural networks, and hybrid ML‐physics methods, addressing challenges like data ...
Hamidreza Yazdani Sarvestani +4 more
wiley +1 more source