Results 11 to 20 of about 1,179,663 (290)
How Does the Volatility of Volatility Depend on Volatility? [PDF]
Risks, 2020 We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance parameter close to that of a log-normal model, albeit with an empirical autocorrelation function that ...
Sigurd Emil Rømer, Rolf Poulsen
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Volatility-of-Volatility Risk [PDF]
Journal of Financial and Quantitative Analysis, 2018 We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility indices, identified model-free as the VIX and VVIX, respectively, are only weakly related to each other.
Darien Huang +3 more
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On the Volatility of Volatility [PDF]
SSRN Electronic Journal, 2006 The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility of the SPX, and is observed to be correlated with the 30-day realized volatility of the SPX ...
Stephen D. H. Hsu, Brian M. Murray
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The Volatility of Realized Volatility [PDF]
Econometric Reviews, 2008 In recent years, with the availability of high-frequency financial market data modeling realized volatility has become a new and innovative research direction. The construction of “observable” or realized volatility series from intra-day transaction data and the use of standard time-series techniques has lead to promising strategies for modeling and ...
CORSI, Fulvio +3 more
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SSRN Electronic Journal, 2005 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 insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications ...
Andersen, Torben G. +3 more
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SSRN Electronic Journal, 2013 We examine whether fundamental measures of volatility are incremental to market based measures of volatility in (i) predicting bankruptcies (out of sample), (ii) explaining cross-sectional variation in credit spreads, and (iii) explaining future credit excess returns.
Correia, Maria +2 more
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Disaggregating non-volatile memory for throughput-oriented genomics workloads [PDF]
, 2018 Massive exploitation of next-generation sequencing technologies requires dealing with both: huge amounts of data and complex bioinformatics pipelines.
A Kawalia +5 more
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Volatility Forecasting for Low-Volatility Investing
SSRN Electronic Journal, 2022 Low-volatility investing often involves sorting and selecting stocks based on retrospective risk measures, for example, the historical standard deviation of returns. In this paper, we use the volatility forecasts from a wide spectrum of volatility models to sort and select stocks and estimate portfolio weights.
Christian Conrad +2 more
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Effect of essential oil on hypertrophic scars
Medisains, 2021 Background: Hypertrophic scars are abnormal scars resulted from a disrupted wound healing process. Hypertrophic scars can affect the body aesthetic of the sufferers, but, on the other hand, conventional therapy has not been optimally effective.
Ave Olivia Rahman +3 more
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Lactic Acid Bacteria and Yeast Inocula Modulate the Volatile Profile of Spanish-Style Green Table Olive Fermentations [PDF]
, 2019 In this work, Manzanilla Spanish-style green table olive fermentations were inoculated with Lactobacillus pentosus LPG1, Lactobacillus pentosus Lp13, Lactobacillus plantarum Lpl15, the yeast Wickerhanomyces anomalus Y12 and a mixed culture of all them.
Arroyo López, Francisco Noé +5 more
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