Results 11 to 20 of about 550,504 (295)
Microbial volatile fingerprints: potential use for soil/water diagnostics and correlation with traditional microbial parameters [PDF]
, 2007 This project used an electronic nose (E-nose) system composed of an array of 14 nonspecific conducting polymer sensors for soil and water diagnostics, based on qualitative microbial volatile production patterns. It tested the feasibility of using soil
Bastos, Ana Catarina
core +7 more sources
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
+8 more sources
Volatile aldehydes in libraries and archives [PDF]
, 2010 Volatile aldehydes are produced during degradation of paper-based materials. This may result in their accumulation in archival and library repositories. However, no systematic study has been performed so far.
Gibson, Lorraine T. +7 more
core +5 more sources
Analysis of volatile marker compounds in body fluid samples from patients with gastrointestinal disease [PDF]
, 2010 Causes of gastrointestinal diseases such as ulcerative colitis (UC) Crohn’s disease (CD) and irritable bowel syndrome (IBS) are not yet completely understood and clinical investigation for diagnosis is invasive, costly and time consuming.
Fowler, Dawn P.
core +7 more sources
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
openaire +5 more sources
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
openaire +2 more sources
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
openaire +6 more sources
Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility [PDF]
Risks, 2020 We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far simpler than the existing ones. Using intraday prices for the
Moawia Alghalith +2 more
openaire +3 more sources
From volatility smiles to the volatility of volatility [PDF]
Decisions in Economics and Finance, 2019 The authors review models of the option surface and reduced-form models for stochastic volatility in continuous time, under the risk-neutral measure. They introduce ``forward volatilities'' (in analogy with forward interest rates in the term structure theory), and prove that such objects are conditional expected values, under the risk-neutral measure ...
Dumas B., Luciano E.
openaire +1 more source
Volatility of volatility of financial markets [PDF]
Mathematical and Computer Modelling, 1998 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
L. Ingber, J.K. Wilson
openaire +2 more sources