Modeling the Price Volatility of Cassava Chips in Thailand: Evidence from Bayesian GARCH-X Estimates
Economies, 2021 Thailand is a significant global exporter of cassava, of which cassava chips are the main export products. Moreover, China was the most important export market for Thailand from 2000 to 2020.
Jittima Singvejsakul +2 more
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A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2014 We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Nistor, Victor +2 more
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The correlation and volatility between bitcoin and the blockchain index
International Journal of Crowd Science, 2020 PurposeThe encrypted money market has attracted the attention of investors all over the world. Among the encrypted currency, bitcoin is undoubtedly the most popular.
Tuotuo Qi +3 more
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Modeling Electricity Price Dynamics Using Flexible Distributions
Mathematics, 2022 We consider the wholesale electricity market prices in England and Wales during its complete history, where price-cap regulation and divestment series were introduced at different points in time.
Sherzod N. Tashpulatov
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Modeling and forecasting exchange rate volatility in time-frequency domain [PDF]
, 2015 This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of ...
Barunik, Jozef +2 more
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COMPARATIVE ANALYSIS OF VOLATILITY OF CRYPTOCURRENCIES AND FIAT MONEY
Финансы: теория и практика, 2018 The article provides a comparative analysis of the volatility of the leading national fiat currencies and their transnational anonymous analogues, which received the slang name “cryptocurrency”.Volatility is the most important financial indicator in the ...
G. O. Krylov +2 more
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Modeling and Forecasting the Volatility of Returns in the Infrastructure Sector in Emerging Markets [PDF]
Eurasian Journal of Business and Economics, 2020 Understanding the volatility behaviour of specific sectors of the economy enables investors to formulate workable investment strategies, and policy-makers to formulate policies that dampen excess volatility. This study examined the volatility features
Rabson MAGWEVA, Mabutho SIBANDA
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Exchange Rate Volatility and Export Trade in Nigeria: An Empirical Investigation [PDF]
, 2008 The paper seeks to quantitatively assess the impact of exchange rate volatility on non oil export flows in Nigeria. Theoretically, volatility-trade link is ambiguous, although a strand of studies reported inverse link between export flow and volatility ...
Aliyu, Shehu Usman Rano
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THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY
International Journal of Theoretical and Applied Finance, 2023 The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and, using the Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.
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The traversal method for user address space in Windows 10 system based on VAD tree
Xibei Gongye Daxue Xuebao, 2022 The existing traversal method for user address space in the memory forensic research is only applicable to Windows XP and Windows 7 32-bit system. Windows 10 64-bit system is currently used by most users, which is the main target of network attackers.
ZHAI Jiqiang +3 more
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