Predicting Stock Volatility Using After-Hours Information [PDF]
We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend GARCH and long-memory forecasting models to include additional information: the whole night, the preopen, the postclose realized variance ...
Chun-Hung Chen, Eric Zivot, Wei-Choun Yu
core
Interface‐Engineered Binary Framework Composites: Advancing Porous Materials for Precision Medicine
Advanced Materials Interfaces, EarlyView.Binary framework composites integrate two complementary porous architectures into a unified platform, enabling multifunctional design, enhanced structural tunability, and improved physicochemical performance. By combining high surface area, ordered porosity, interfacial synergy, and versatile functionalization, these hybrid materials offer new ...
Navid Rabiee +3 more
wiley +1 more source
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical ...
Tim Bollerslev +3 more
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Facet‐Specific PbS Quantum Dot Passivation Using Halide Perovskites for SWIR Photodetectors
Advanced Materials Interfaces, EarlyView.PbS quantum dots (QDs) are emerging as powerful short‐wave infrared photodetectors, yet the passivation mechanism of large QDs by perovskites ‐ critical for their stability ‐ remains unexplained. Here, we unveil the ligand structure of CH3NH3PbI3 (MAPI)‐passivated 4‐nm PbS QDs using FTIR, XPS, SEM, NMR, and DFT.
L. Paillardet +13 more
wiley +1 more source
Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors.
Refenes, Apostolos P. +2 more
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"On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise" [PDF]
For estimating the realized volatility and covariance by using high frequency data, we have introduced the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises by Kunitomo and Sato (2008a, 2008b, 2010a ...
Naoto Kunitomo, Seisho Sato
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Advances in Halide Perovskites for Photon Radiation Detectors
Advanced Materials Technologies, EarlyView.This work highlights recent progress in perovskite‐based photon radiation detectors, covering organic–inorganic hybrid, inorganic, lead‐free double, and vacancy‐ordered halide perovskites. Their detection performance is compared, material‐specific advantages and challenges are examined, and provides insight into current limitations and future ...
Liangling Wang +3 more
wiley +1 more source
"Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise" [PDF]
For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a,b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises.
Naoto Kunitomo, Seisho Sato
core
Agentic Finance: An Adaptive Inference Framework for Bounded-Rational Investing Agents. [PDF]
Entropy (Basel)Montañez Jacquez S +2 more
europepmc +1 more source
Advanced Materials Technologies, EarlyView.The article overviews past and current efforts on caloric materials and systems, highlighting the contributions of Ames National Laboratory to the field. Solid‐state caloric heat pumping is an innovative method that can be implemented in a wide range of cooling and heating applications.
Agata Czernuszewicz +5 more
wiley +1 more source