Results 71 to 80 of about 257,407 (303)
Asymptotic expansion for some local volatility models arising in finance [PDF]
, 2018 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.
ALbeverio, Sergio +3 more
core +2 more sources
Solvent‐Free Thermal Defect Engineering in Molecular Frameworks With Volatile Linkers
Advanced Materials, EarlyView.Thermal removal of neutral volatile linkers enables precise and solvent‐free generation of metal vacancies in MOFs. This strategy affords redox‐stable, coordinatively unsaturated FeII sites with tunable spin, ligand coordination, and catalytic behavior. The approach offers a general route to design defect‐functional materials through local coordination
Sonia Martínez‐Giménez +9 more
wiley +1 more source
UK macroeconomic volatility and the term structure of interest rates. [PDF]
This paper uses a macro-finance model to examine the ability of the gilt market to predict fluctuations in macroeconomic volatility. The econometric model is a development of the standard ‘square root’ volatility model, but unlike the conventional term ...
Peter Spencer
core
Advanced Materials, EarlyView.The new Cu‐containing MOF (Me2NH2)(CuICl2)@[Cu4(INA)4Cl2O]·1.5dmf (3) contains a cation and an anion as guests and shows UV‐near‐mid‐IR absorption and near‐IR emission. MOF 3 shows gas‐solid reactivity in the presence of NH3 and HCOOH to yield two new 3D MOF.
Rajat Saha +10 more
wiley +1 more source
Impact of crude oil price volatility on Indian stock market returns: A quantile regression approach [PDF]
Ekonomski AnaliThis paper examines the heterogenous effect of oil price volatility on Indian sectoral stock returns for the period January 2011 to September 2022 using the quantile regression method, which helps us to analyse the impact in bearish, normal, and
Munawwara Zubair
doaj +1 more source
Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99 [PDF]
This paper develops a macroeconomic model of the yield curve and uses this to explain the behaviour of the US Treasury market. Unlike previous macro-finance models which assume a homoscedastic error process, I develop a general affine model which allows ...
Peter Spencer
core
Atomistic Mechanisms Triggered by Joule Heating Effects in Metallic Cu‐Bi Nanowires for Spintronics
Advanced Materials, EarlyView.Bi doped metallic Cu nanowires are promising for spintronics thanks to the stabilization of a giant spin Hall effect. However, heat resulting from current injection forces Bi to leave solution, forcing segregation into monoatomic decorations which evolve into coherent crystalline aggregates.
Alejandra Guedeja‐Marrón +6 more
wiley +1 more source
IEEE Access, 2019 This paper studies the intraday return and volatility spillovers of Chinese CSI 300 industry indices with high-frequency data over the period from May 2012 to June 2016. The dynamic correlation among the industries is calculated with VEC-DCC-GARCH model.
Feng He, Zhifeng Liu, Sicen Chen
doaj +1 more source
Polynomial Diffusions and Applications in Finance
, 2016 This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities ...
Filipovic, Damir, Larsson, Martin
core +1 more source
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 +2 more sources