Results 121 to 130 of about 221,116 (284)
The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley +1 more source
On the Comovement of Contango and Backwardation Across Futures Commodity Markets
Journal of Futures Markets, EarlyView.ABSTRACT We examine the time‐varying nature of the comovement of the slope of the futures curve in major agricultural, metals and energy commodity futures markets in a Global Vector Autoregressive model. We find significant comovement between the slopes, indicating the co‐existence of backwardation and contango in many seemingly unrelated commodity ...
Angelo Luisi +2 more
wiley +1 more source
Geological Journal, EarlyView.Energy security risk has a positive impact on material footprint. Renewable energy consumption reduces material footprint. ABSTRACT Following a high economic growth path, the group of G7 economies is found to be utilising more and more material, causing a material footprint (MF), which in turn contributes to pollution.
Serhat Çamkaya +4 more
wiley +1 more source
Alternative Price Dynamics and Valuation of Flexible Strategies
International Journal of Finance &Economics, EarlyView.ABSTRACT In this article, we study the optimal operational strategy of production projects. We investigate different underlying price models and determine the optimal barriers of transition to suspension, recovery, or irreversible abandonment of productive activity.
Cristina Bertolosi +2 more
wiley +1 more source
Interplay Between Green Investment and Market Price Premia in Global Shipping
International Journal of Finance &Economics, EarlyView.ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi +4 more
wiley +1 more source
Forecasting Related Time Series
Journal of Applied Econometrics, EarlyView.ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
wiley +1 more source
Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S.
Laura Capera Romero, Anne Opschoor
wiley +1 more source
International Journal of Climatology, EarlyView.Estimating water resources is important for regional climate impact analysis and risk estimation. The Middle East and Central Asia have largely reached the limit of sustainably usable water across their river basins and ecosystems. Strategies designed to mitigate environmental risks require a reliable estimation of water availability trends.
Paolo Reggiani +4 more
wiley +1 more source
Stationary measures for certain stochastic processes [PDF]
Pacific Journal of Mathematics, 1958 openaire +2 more sources
Laser &Photonics Reviews, EarlyView.Introducing dynamical dephasing into the photon modes of a waveguide causes spontaneous emission to switch from conventional exponential decay to a robust power‐law behavior visible at short times. The power law arises from photon diffusion in a dynamically disordered environment, uncovering a previously unexplored, decoherence‐induced pathway to ...
Stefano Longhi
wiley +1 more source