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Medidas alternativas de volatilidad en el mercado de valores peruano
Revista de Análisis Económico y Financiero, 2019 This document seeks to compare the main volatility calculation methodologies for the Peruvian stock market. Three volatility calculation methods are presented, the EWMA model, the GARCH model and the Stochastic Volatility (SV) model.
Rafael Nivin Valdiviezo
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Extremal behavior of stochastic volatility models [PDF]
, 2005 Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels.
Lindner, Alexander M. +7 more
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Stochastic volatility and DSGE models [PDF]
Economics Letters, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Advanced Functional Materials, EarlyView.In MOCVD MoS2 memristors, a current compliance‐regulated Ag filament mechanism is revealed. The filament ruptures spontaneously during volatile switching, while subsequent growth proceeds vertically through the MoS2 layers and then laterally along the van der Waals gaps during nonvolatile switching.
Yuan Fa +19 more
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, 1995 This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and related stylized facts), statistical modelling in discrete ...
Ghysels, E., Harvey, A., Renault, E.
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Advanced Functional Materials, EarlyView.Field‐free spin‐orbit torque domain‐wall synapses integrated with stochastic MTJ neurons enable compact hardware Boltzmann machines. Leveraging intrinsic stochasticity and multi‐level conductance, the system achieves efficient probabilistic learning with high accuracy, demonstrating a scalable spintronic platform for energy‐efficient edge AI.
Aijaz H. Lone +8 more
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Model of Continuous Random Cascade Processes in Financial Markets
Frontiers in Physics, 2020 This article presents a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade: one multiplicatively combines with ...
Jun-ichi Maskawa, Koji Kuroda
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Advanced Functional Materials, EarlyView.A fully programmable, dual‐inductive switchable halide perovskite memristor is demonstrated through precise BDAI2‐mediated interface engineering. This ion‐modulating layer suppresses stochastic filamentary growth, enabling stable, non‐filamentary switching via dynamic barrier modulation.
So‐Yeon Kim, Juan Bisquert
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An Investment and Consumption Problem with CIR Interest Rate and Stochastic Volatility
Abstract and Applied Analysis, 2013 We are concerned with an investment and consumption problem with stochastic interest rate and stochastic volatility, in which interest rate dynamic is described by the Cox-Ingersoll-Ross (CIR) model and the volatility of the stock is driven by Heston’s ...
Hao Chang, Xi-min Rong
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3D Printing Innovations in Polymeric Porous and Patterned Architecture
Advanced Functional Materials, EarlyView.Polymeric foams occupy a unique structural space between dense solids and open networks, where engineered void fraction governs mechanical compliance, thermal resistance, and mass transport. Additive manufacturing now enables precise spatial control over cellular architecture, unlocking designer foam structures across applications spanning crash ...
Dhanush Patil +13 more
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