Results 11 to 20 of about 2,890,666 (306)
Simulation of Distillation of a Large Relative Volatility Mixture
Journal of King Saud University: Engineering Sciences, 2003 In this paper, difficulties relating to the simulation of distillation columns for separating mixtures containing components with large relative volatility between the light and heavy key components are discussed.
Anis H. Fakeeha
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Relative Liquidity and Future Volatility [PDF]
SSRN Electronic Journal, 2013 The main contribution of this paper is to identify the strong predictive power of the relative concentration of depth provision, rather than volume of orders, over volatility. To this end, we propose a new measure, relative liquidity (RLIQ), which extracts information from a limit order book distribution and captures the level of consensus on a ...
Marcela Valenzuela +3 more
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The Relative Volatility of Commodity Prices: A Reappraisal [PDF]
SSRN Electronic Journal, 2011 AbstractThis article studies the relative volatility of commodity prices by examining a large dataset of monthly prices observed in international trade data taken from the United States between 2002–2011. The evidence presented here suggests that, on average, prices of individual primary commodities are less volatile than individual manufactured goods ...
Rabah Arezki +2 more
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Assessing relative volatility/ intermittency/energy dissipation [PDF]
Electronic Journal of Statistics, 2014 25 pages, 4 figures, v3: major revision, this version contains an application to electricity prices that was omitted from the published ...
Barndorff-Nielsen, Ole E. +2 more
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A Reappraisal of the Border Effect on Relative Price Volatility [PDF]
International Economic Journal, 2006 Engel & Rogers (1996) find that crossing the US–Canada border can considerably raise relative price volatility and that exchange rate fluctuations explain about one-third of the volatility increase. Using a decomposition method, this study re-evaluates the border effect. It is shown that cross-country heterogeneity in price volatility can induce a bias
Yin-wong Cheung, Kon S. Lai
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Relative Pricing of Options with Stochastic Volatility [PDF]
SSRN Electronic Journal, 1998 This paper offers a new approach for pricing options on assets with stochastic volatility. We start by constructing the "surface" of Black-Scholes implied volatilities for (readily observable) liquid, European call options with varying strike prices and maturities.
Olivier Ledoit, Pedro Santa-Clara
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Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
Axioms, 2022 This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models.
Kuo-Shing Chen, Shen-Ho Chang
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Family Structure and Cohort Trends in Childhood Family Income Volatility
Socius, 2023 The authors examine cohort trends in childhood income volatility among U.S. children born between 1970 and 1990. In contrast to previous studies that focused mainly on period trends, the authors adopt a cohort-life-course perspective and measure children’
Airan Liu, Siwei Cheng
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Sustainable Development and Engineering Economics, 2023 Measurement and forecasting of volatility and income correlation are achieved by non-parametric methods using high-frequency price data. Due to accurate calculations of conditional volatility and correlation forecasting, it is possible to correctly ...
John Guyomey, Andrey Zaitsev
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Chemical Engineering Transactions, 2017 Acetone and tetrahydrofuran are commonly used solvents and important raw materials in some organic synthetic process. Extractive distillation is proposed to separate the azeotropeofacetone-tetrahydrofuran.
Z. Zhu +5 more
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