Results 91 to 100 of about 692,757 (295)
Are there Structural Breaks in Realized Volatility? [PDF]
Constructed from high-frequency data, realized volatility (RV) provides an efficient estimate of the unobserved volatility of financial markets. This paper uses a Bayesian approach to investigate the evidence for structural breaks in reduced form time ...
John M Maheu, Chun Liu
core
Realized beta : persistence and predictability [PDF]
, 2003 A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM.
Tim Bollerslev +8 more
core +1 more source
Journal of Business Economics and Management, 2014 This study examines the information content of implied volatility, using the options of the underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are calculated using non-overlapping monthly at-the-money samples ...
Puja Padhi, Imlak Shaikh
doaj +1 more source
Ferroelectric Polarization Enabled Threshold Voltage Modulation in High Electron Mobility Transistor
Advanced Functional Materials, EarlyView.A comprehensive model is developed to capture the coupled electrostatics of a ferroelectric capacitor and a metal‐insulator‐semiconductor high electron mobility transistor (MISHEMT) connected in ferroelectric‐metal high electron mobility transistor (FeMHEMT) configuration.
Wentian Gao +4 more
wiley +1 more source
Behavior of realized volatility and correlation in exchange markets [PDF]
We study time-varying realized volatility and related correlation measures as proxies for the true volatility and correlation. We investigate measures of Two-Scale realized Absolute Volatility (TSAV) and correlation (TSACORxy) which are helpful to cope ...
Detlef Seese, Amir Safari
core
Advanced Functional Materials, EarlyView.This work introduces an ultrafast thermal shock strategy to synthesize a CuNiSnLa medium‐entropy metallic glass (MEMG). The rapid heating and cooling process generates a robust, highly active catalyst for electrocatalytic nitrate reduction to ammonia (NRA).
Hongbo Chen +7 more
wiley +1 more source
Advanced Functional Materials, EarlyView.Low‐frequency noise spectroscopy defines the resolvable conductance states of synaptic FeFETs by coupling read‐current fluctuation with usable dynamic range. The resulting noise‐limited bit precision establishes a universal, device‐agnostic reliability metric beyond the memory window, enabling quantitative benchmarking and rational design of high ...
Jaehong Park +12 more
wiley +1 more source
Advanced Functional Materials, EarlyView.A scalable, solution‐processed WSe2/ZrO2‐x van der Waals heterostructure realizes a light‐induced field‐tunneling synapse (LIFTS) that activates exclusively under bright illumination, emulating the photopic adaptation of the human retina at the device level.
Kijeong Nam +10 more
wiley +1 more source
Modeling and Forecasting Realized Volatility [PDF]
This paper provides a general framework for integration of high-frequency intraday data into the measurement, modeling and forecasting of daily and lower frequency volatility and return distributions.
Tim Bollerslev +3 more
core +2 more sources
Flexible HAR model for realized volatility
Studies in Nonlinear Dynamics & Econometrics, 2018 Abstract The Heterogeneous Autoregressive (HAR) model is commonly used in modeling the dynamics of realized volatility. In this paper, we propose a flexible HAR(1, . . . , p ) specification, employing the adaptive LASSO and its statistical inference theory to see whether the
Audrino, Francesco +2 more
openaire +5 more sources