Results 101 to 110 of about 727,591 (368)
Transmission of Volatility between Stock Markets
, 1989 This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that "contagion" between markets occurs as the result of attempts by rational agents to infer information ...
M. King, S. Wadhwani
semanticscholar +1 more source
Volatility of Aggregate Volatility and Hedge Fund Returns [PDF]
SSRN Electronic Journal, 2014 This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the VIX index.
Narayan Y. Naik +3 more
openaire +8 more sources
Beyond Order: Perspectives on Leveraging Machine Learning for Disordered Materials
Advanced Engineering Materials, EarlyView.This article explores how machine learning (ML) revolutionizes the study and design of disordered materials by uncovering hidden patterns, predicting properties, and optimizing multiscale structures. It highlights key advancements, including generative models, graph neural networks, and hybrid ML‐physics methods, addressing challenges like data ...
Hamidreza Yazdani Sarvestani +4 more
wiley +1 more source
Realized Volatility Risk [PDF]
SSRN Electronic Journal, 2009 In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive.
Marcel Scharth +5 more
openaire +11 more sources
ALD‐Assisted VO2 for Memristor Application
Advanced Engineering Materials, EarlyView.This work demonstrates a strategy for depositing VOx using thermal atomic layer deposition (ALD) followed by thermal annealing to synthesize VO2. The thin film and core/shell wire memristors exhibit excellent switching performance and are highly sensitive to ambient temperature.
Jun Peng +7 more
wiley +1 more source
A note on estimating stochastic volatility and its volatility: a new simple method [PDF]
arXiv, 2012 We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.
arxiv
Advanced Engineering Materials, EarlyView.This study explores aerosol jet‐printed (AJP) surface roughness, its effects on the performance of microwave electronics, and its process contributors. First, an electromagnetic model is vetted for AJP's unique roughness signature. Simulations are built which show process‐induced roughness is as significant as conductor resistivity in driving microwave
Christopher Areias, Alkim Akyurtlu
wiley +1 more source
Assessing Portfolio Risks Involving Bitcoin and Ethereum Using Vector Autoregressive Model [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 Investors now have a multitude of non-traditional assets to choose from, especially from the spectrum of alternative assets, such as financial digital assets.
Andrei-Dragos Popescu
doaj
On the difference between the volatility swap strike and the zero vanna implied volatility [PDF]
arXiv, 2019 In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estimate is the first to derive the rigorous relationship between the zero vanna implied volatility and the ...
arxiv
Advanced Engineering Materials, EarlyView.This study investigates the effect of a NiAl coating on additively manufactured (AM) IN939 to improve its cyclic oxidation resistance at 1050 °C. The coating promotes protective α‐Al2O3 formation, allowing durability for up to 240 cycles, while uncoated AM‐IN939 experiences spallation and weight loss due to nonprotective oxides.
Fatih Guler +5 more
wiley +1 more source