Results 51 to 60 of about 1,369,451 (372)

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, Peter Cauwels, Georgi Smilyanov   +2 more
doaj   +1 more source

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, Maria Hashim, Vanina Adoriana Trifan, Adina Eleonora Spînu, Muhammad Fahad Siddiqi, Farman Ullah Khan   +5 more
openaire   +3 more sources

Realized Volatility Forecasting with Neural Networks

Journal of Financial Econometrics, 2020
In the last few decades, a broad strand of literature in finance has implemented artificial neural networks as a forecasting method. The major advantage of this approach is the possibility to approximate any linear and nonlinear behaviors without ...
Andrea Bucci
semanticscholar   +1 more source

TRPM8 levels determine tumor vulnerability to channel agonists

Molecular Oncology, EarlyView.
TRPM8 is a Ca2+ permissive channel. Regardless of the amount of its transcript, high levels of TRPM8 protein mark different tumors, including prostate, breast, colorectal, and lung carcinomas. Targeting TRPM8 with channel agonists stimulates inward calcium currents followed by emptying of cytosolic Ca2+ stores in cancer cells.
Alessandro Alaimo, Francesco Giuseppe Carbone, Kristi Buzo, Nicole Annesi, Sacha Genovesi, Annalisa Lorenzato, Karen Widmann, Michela Libergoli, Elisa Marmocchi, Giovanni Bertalot, Alberto Brolese, Mauro Giulio Papotti, Luca Molinaro, Orazio Caffo, Mattia Barbareschi, Alberto Bardelli, Alessandro Romanel, Sabrina Arena, Andrea Lunardi   +18 more
wiley   +1 more source

Maximum likelihood approach for several stochastic volatility models

, 2012
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable.
Camprodon, Jordi, Perelló, Josep
core   +1 more source

Asymptotic expansion for some local volatility models arising in finance [PDF]

Decisions in Economics and Finance, 2019
In this paper we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the remainders. Moreover, we perform a detailed numerical analysis, with accuracy comparisons, of the obtained results by mean of ...
Albeverio S., Cordoni F., Di Persio L., Pellegrini G.   +3 more
openaire   +5 more sources

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

, 1993
The authors find support for a negative relation between conditional expected monthly return and conditional variance of monthly return using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations ...
L. Glosten, R. Jagannathan, D. Runkle
semanticscholar   +1 more source

Financial Twitter Sentiment on Bitcoin Return and High-Frequency Volatility

, 2021
This paper studies how sentiment affect Bitcoin pricing by examining, at an hourly frequency, the linkage between sentiment of finance-related Twitter messages and return as well as the volatility of Bitcoin as a financial asset.
Xiang Gao, Weige Huang, Hua Wang
semanticscholar   +1 more source

Assessing the Ecological Value: Monetizing Process Innovations in Tailored Forming

Advanced Engineering Materials, EarlyView.
This article introduces a method for evaluating the sustainability of innovations, even with limited data. The method is illustrated through an analysis of the “Tailored Forming” technology, which explores the impact of sustainability on economic value added.
Jonas Schneider, Jan Westing, Matthias Schmidt, Peter Nyhuis, Vivian Katharina Kuprat   +4 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
doaj   +1 more source