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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
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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
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
, 2010 In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus confirming a ...
Gatheral, Jim, Jacquier, Antoine
core +1 more source
Oxide‐Based Ceramic Matrix Composites for High‐Temperature Environments: A Review
Advanced Engineering Materials, EarlyView.This review examines oxide‐based ceramic matrix composites, focusing on their processing, composition, and mechanical properties for high‐temperature applications. Key topics include oxidation resistance, failure mechanisms, and corrosion behavior, with insights into their potential use in aerospace, nuclear power, and other high‐performance industries.
Karthikeyan Ramachandran +2 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
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A Gaussian semi-parametric implied volatility model
Journal of Algorithms & Computational Technology, 2017 Modeling the implied volatility has received extensive attention, as the implied volatility is an important parameter in option pricing. Usually the implied volatility can be approximated by fitting a polynomial about the strike and the maturity or by ...
Xiaoyan Wu +3 more
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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
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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
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