Results 11 to 20 of about 874,152 (277)
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS [PDF]
International Journal of Theoretical and Applied Finance, 2008 In this paper, we quantify the impact on the representative agent's welfare of the presence of derivative products spanning covariance risk. In an asset allocation framework with stochastic (co)variances, we allow the agent to invest not only in the stocks but also in the associated variance swaps.
DA FONSECA J +2 more
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Conditional variances in UK regional house prices [PDF]
, 2010 The returns of house price indices for the 13 UK regions are modelled using time series processes, including conditional variances. The first conclusion is that the UK follows the USA, with some regions displaying time-varying variances and others with ...
Cameron G. +3 more
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Variance-of-Variance Risk Premium [PDF]
Review of Finance, 2017 Abstract This article explores the premium for bearing the variance risk of the VIX index, called the variance-of-variance risk premium. I find that during the sample period from 2006 until 2014 trading strategies exploiting the difference between the implied and realized variance of the VIX index yield average excess returns of − 24.16%
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Fluctuations of two-time quantities and non-linear response functions [PDF]
, 2010 We study the fluctuations of the autocorrelation and autoresponse functions and, in particular, their variances and co-variance. In a first general part of the Article, we show the equivalence of the variance of the response function with the second ...
Corberi, Federico +3 more
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Turbulence Measurements with Dual-Doppler Scanning Lidars
Remote Sensing, 2019 Velocity-component variances can be directly computed from lidar measurements using information of the second-order statistics within the lidar probe volume.
Alfredo Peña, Jakob Mann
doaj +1 more source
Variance Minimization – Relationship between Completion-Time Variance and Waiting-Time Variance [PDF]
The Journal of the Australian Mathematical Society. Series B. Applied Mathematics, 1996 AbstractThe completion-time variance (CTV) and the waiting-time variance (WTV) are two performance measures which are commonly used in optimization of single-machine scheduling systems. This paper shows that when the number of jobs is large the two measures are nearly equivalent in a probabilistic environment.
Zhou, S., Cai, X.
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Comparison of different traits to evaluate the growth of bulls
Czech Journal of Animal Science, 2008 The live weights of 8 243 performance-tested bulls from 100 to 400 days of age were analysed using random regression (RR) and single-trait animal models.
J. Přibyl +3 more
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Estimating genetic variance contributed by a quantitative trait locus: A random model approach.
PLoS Computational Biology, 2022 Detecting quantitative trait loci (QTL) and estimating QTL variances (represented by the squared QTL effects) are two main goals of QTL mapping and genome-wide association studies (GWAS).
Shibo Wang, Fangjie Xie, Shizhong Xu
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Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns
Scientific Annals of Economics and Business, 2017 The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models.
Singh Amanjot
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Unobserved component models with asymmetric conditional variances [PDF]
, 2006 Unobserved component models with GARCH disturbances are extended to allow for asymmetric responses of conditional variances to positive and negative shocks. The asymmetric conditional variance is represented by a member of the QARCH class of models.
Broto, Carmen, Ruiz, Esther
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