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The impact of the Himalayan aerosol factory: results from high resolution numerical modelling of pure biogenic nucleation over the Himalayan valleys.

open access: yesFaraday Discuss
Ciarelli G   +17 more
europepmc   +1 more source

Volatility is rough [PDF]

open access: yesSSRN Electronic Journal, 2014
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at ...
Jim Gatheral   +2 more
semanticscholar   +6 more sources
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Testing the Fluctuations of Oil Resource Price Volatility: A Hurdle for Economic Recovery

Social Science Research Network, 2022
The influence of oil price volatility on significant international macroeconomic indicators is examined empirically. The vector auto-regression (VAR) system is used to examine the influence of oil price volatility. According to the Granger causality test,
Xie Xiuzhen   +2 more
semanticscholar   +1 more source

Stochastic Volatility [PDF]

open access: possibleSSRN Electronic Journal, 2008
Given the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real-time estimates and forecasts of current and future volatility have been extensive. The main framework used in this context involves stochastic volatility models.
Torben G. Andersen, Luca Benzoni
openaire   +2 more sources

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