Results 71 to 80 of about 1,687,826 (388)
On the Curvature of the Bachelier Implied Volatility
RisksOur aim in this paper is to analytically compute the at-the-money second derivative of the Bachelier implied volatility curve as a function of the strike price for correlated stochastic volatility models.
Elisa Alòs, David García-Lorite
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US Implied Volatility as A predictor of International Returns
Quantitative Finance and Economics, 2017 This study provides evidence of the US implied volatility’s e ect on international equitymarkets’ returns. This evidence has two main implications: i) investors may find that foreign equityreturns adjusting to US implied volatility may not provide true ...
Mehmet F. Dicle
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Dynamics of Connectedness in Clean Energy Stocks
Energies, 2020 This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities ...
Fernanda Fuentes, Rodrigo Herrera
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The Reactive Volatility Model [PDF]
, 2013 We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations.
Aboura, Sofiane +3 more
core +1 more source
Implied Volatility Functions: Empirical Tests [PDF]
IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr), 1998 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 +2 more sources
Advanced Functional Materials, EarlyView.Two‐dimensional electronic states are the foundation of modern semiconductor technology. Here, we report molecular‐beam epitaxy growth of fractional double perovskite, EuTa2O6. Reciprocal space mapping and transmission electron microscopy confirm a layered ordering of A‐site cations.
Tobias Schwaigert +15 more
wiley +1 more source
Advanced Functional Materials, EarlyView.This review explores functional and responsive materials for triboelectric nanogenerators (TENGs) in sustainable smart agriculture. It examines how particulate contamination and dirt affect charge transfer and efficiency. Environmental challenges and strategies to enhance durability and responsiveness are outlined, including active functional layers ...
Rafael R. A. Silva +9 more
wiley +1 more source
The Information Content of Corridor Volatility Measures During Calm and Turmoil Periods
Quantitative Finance and Economics, 2017 Measurement of volatility is of paramount importance in finance because of the effects on risk measurement and risk management. Corridor implied volatility measures allow us to disentangle the volatility of positive returns from that of negative returns,
Elyas Elyasiani +2 more
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Device Integration Technology for Practical Flexible Electronics Systems
Advanced Functional Materials, EarlyView.Flexible device integration technologies are essential for realizing practical flexible electronic systems. In this review paper, wiring and bonding techniques critical for the industrial‐scale manufacturing of wearable devices are emphasized based on flexible electronics.
Masahito Takakuwa +5 more
wiley +1 more source
Implied Volatility Structure in Turbulent and Long-Memory Markets
Frontiers in Applied Mathematics and Statistics, 2020 We consider fractional stochastic volatility models that extend the classic Black–Scholes model for asset prices. The models are general and motivated by recent empirical results regarding the behavior of realized volatility. While such models retain the
Josselin Garnier, Knut Sølna
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