Results 11 to 20 of about 25,615 (257)

Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility [PDF]

, 2021
We forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility.
Dimos S. Kambouroudis, Kambouroudis, Dimos, Katerina Tsakou, McMillan, David, Tsakou, Katerina, David G. McMillan   +5 more
core   +1 more source

Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets

, 2023
This paper investigates whether range estimators contain important information in forecasting future realized volatility. We use widely applied range-based estimators: Parkinson, Garman-Klass, Roger-Satchell, and Yang-Zhang within a HAR-RV-X framework ...
McMillan, David G, Burak Korkusuz, Dimos Kambouroudis, Kambouroudis, Dimos, Korkusuz, Burak, David G. McMillan   +5 more
core   +1 more source

Stochastic volatility models for ordinal valued time series with application to finance [PDF]

, 2006
In this paper we introduce two stochastic volatility models where the response variable takes on only finite many ordered values. Corresponding time series occur in high-frequency finance when the stocks are traded on a coarse grid.
Müller, Gernot, Czado, Claudia, Müller, Gernot J.   +2 more
core   +1 more source

How Does Long-Term Finance Affect Economic Volatility? [PDF]

, 2016
In an approach analogous to Rajan and Zingales (1998), we examine how the ability to access long-term debt affects firm-level growth volatility. We find that firms in industries with stronger preference to use long-term finance relative to short-term ...
Horváth, Bálint, Bálint L. Horváth, Demirgüç-Kunt, A., Demirgüç-Kunt, Asli, Asli Demirguc-Kunt, Horvath, Balint L., Huizinga, Harry; id_orcid, Harry Huizinga, Huizinga, Harry   +8 more
core   +1 more source

Zein‐Based Adhesives: Sustainable Extraction and Application in Bioadhesive Technologies

Advanced Engineering Materials, EarlyView.
Zein is extracted from corn gluten meal using a simple and scalable process with high yield (~90%). The resulting protein is applied in bioadhesives modified with Ca2+ and Fe3+ ions, exhibiting substrate‐dependent adhesion. The findings demonstrate competitive bonding performance and highlight the role of ionic interactions in tuning adhesion ...
Paula Bertolino Sanvezzo, Daniela Winsley Valereto Friozi, Vinícius de Oliveira, Marcia Cristina Branciforti   +3 more
wiley   +1 more source

Thermodynamic Pathways of Nonequilibrium Solidification in Wire‐Arc Additive Manufacturing Fe‐Based Multicomponent Alloy Structures

Advanced Engineering Materials, EarlyView.
Geometry‐driven thermal behavior in wire‐arc additive manufacturing (WAAM) influences microstructural evolution during nonequilibrium solidification of a chemically complex Fe–Cr–Nb–W–Mo–C nanocomposite system. By comparing different deposits configurations, distinct entropy–cooling rate correlations, segregation, and carbide evolution are revealed ...
Blanca Palacios, Anthony Gonzalez, Aleksander Aleman, Tyler Dolmetsch, Tanaji Paul, Arvind Agarwal   +5 more
wiley   +1 more source

Linear and nonlinear filtering in mathematical finance: a review [PDF]

, 2010
Copyright @ The Authors 2010This paper presents a review of time series filtering and its applications in mathematical finance. A summary of results of recent empirical studies with market data are presented for yield curve modelling and stochastic ...
Date, P, Ponomareva, K, P. Date, K. Ponomareva   +3 more
core   +1 more source

Performance Analysis of Abradable Coating Systems for Aircraft Gas Turbines

Advanced Engineering Materials, EarlyView.
Three CoNiCrAlY/YSZ/MgAl2O4 abradable liner configurations on a nickel‐superalloy are evaluated by thermal‐gradient cycling and incursion tests. Laser ablation of the bondcoat and/or Y2O3‐stabilized ZrO2 (YSZ) intermediate layer increases mechanical interlocking and bonding for thick topcoats.
Hanna Heyl, Daniel Emil Mack, Martin Tandler, Susanne Schrüfer, Robert Vaßen   +4 more
wiley   +1 more source

Soft Mechanical‐Electrical Logic Using Liquid Metal‐Filled 3D‐Printed Architectures

Advanced Engineering Materials, EarlyView.
We present 3D‐printed soft mechanical–electrical logic elements that use liquid metal–filled silicone tubes actuated by thermoplastic polyurethane/polylactic acid (TPU/PLA) architectures to produce Boolean operations. Complementary normally open and normally closed unit cells perform repeatable binary transitions and can be combined into more complex ...
Christoph Lehmann, Ryan Kalgreen, Laura M. Comella   +2 more
wiley   +1 more source

Control of Polarization and Polar Helicity in BiFeO3 by Epitaxial Strain and Interfacial Chemistry

Advanced Functional Materials, EarlyView.
In BiFeO3 thin films, the interplay of interfacial chemistry, electrostatics, and epitaxial strain is engineered to stabilize homohelicity in polarization textures at the domain scale. The synergistic use of a Bi2O2‐terminated Aurivillius buffer layer and a highly anisotropic compressive epitaxial strain offers new routes to control the polar‐texture ...
Elzbieta Gradauskaite, Lilia Huynh, Natascha Gray, Quintin N. Meier, Marta D. Rossell, Morgan Trassin   +5 more
wiley   +1 more source