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Revisiting the Link Between Finance and Macroeconomic Volatility
IMF Working Papers, 2013 This paper examines the impact of financial depth on macroeconomic volatility using a dynamic panel analysis for 110 advanced and developing countries. We find that financial depth plays a significant role in dampening the volatility of output, consumption, and investment growth, but only up to a certain point.
Era Dabla-Norris, Narapong Srivisal
openaire +4 more sources
Interest rate volatility and financing of Islamic banks
PLOS ONE, 2022 Despite a direct ban on charging interest, interest-based benchmarks are used as a pricing reference by a majority of Islamic banks, due in part to the absence of stable and widely- published alternatives. Benchmarking interest rate exposes Islamic banks to the problems of conventional banks, particularly the interest rate risk.
Muhammad Nouman +5 more
openaire +3 more sources
Can we use volatility to diagnose financial bubbles? lessons from 40 historical bubbles
Quantitative Finance and Economics, 2018 We inspect the price volatility before, during, and after financial asset bubbles in orderto uncover possible commonalities and check empirically whether volatility might be used as anindicator or an early warning signal of an unsustainable price ...
Didier Sornette +2 more
doaj +1 more source
The predictive power of Bitcoin prices for the realized volatility of US stock sector returns
Financial Innovation, 2023 This paper is motivated by Bitcoin’s rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets.
Elie Bouri +2 more
doaj +1 more source
Macroeconomic Volatility and its Significance to the Rising External Indebtedness of Nigeria
Maliye Çalışmaları Dergisi, 2021 The motivation of this study has been to identify the effects of the multidimensional perspectives of macroeconomic volatility on the growth of external debt in Nigeria from 1970 to 2018. Methodologically, the Auto-Regressive Distributed Lag (ARDL) model
Samson Adeniyi Aladejare
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Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]
تحقیقات مالی, 2020 Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
doaj +1 more source
Advanced Engineering Materials, EarlyView.This study demonstrates a novel, additive manufacturing approach to produce complex, porous tungsten carbide structures using water‐based direct ink writing/robocasting. Leveraging a modified commercial printer and heat treatment, the process yields lightweight, electrically conductive 3D architectures capable of supporting a mechanical load.
James Bentley Bevis +3 more
wiley +1 more source
Forward implied volatility expansion in time-dependent local volatility models******
ESAIM: Proceedings and Surveys, 2014 We introduce an analytical approximation to efficiently price forward start options on equity in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are small.
Bompis Romain, Hok Julien
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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
Advanced Engineering Materials, EarlyView.Ni‐base superalloys produced using additive manufacturing (AM) have a different response to heat treatments when compared to their conventional counterparts. Due to such unpredictability, various alloys with industrial interest are currently overlooked in most prior AM research.
Guilherme Maziero Volpato +6 more
wiley +1 more source