Aspects of volatility targeting for South African equity investors
South African Journal of Economic and Management Sciences, 2014 We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by changing
Bhekinkosi Khuzwayo, Eben Mare
doaj +1 more source
Forecasting Exchange Rate Volatility in the Presence of Jumps [PDF]
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump ...
Bent Jesper Christensen +2 more
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Making Photoresponsive Metal–Organic Frameworks an Effective Class of Heterogeneous Photocatalyst
Advanced Functional Materials, EarlyView.This review summarizes photoresponsive MOFs for photocatalytic applications, focusing on their capacity to enhance light harvesting, charge transfer, and surface reactions. While existing studies provide foundational insights, emerging characterization techniques enable a deeper understanding of photoresponsive MOFs.
Rui Liu +3 more
wiley +1 more source
Are combination forecasts of S&P 500 volatility statistically superior? [PDF]
Forecasting volatility has received a great deal of research attention. Many articles have considered the relative performance of econometric model based and option implied volatility forecasts.
Adam Clements, Ralf Becker
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High‐Speed and Scalable Wet Spinning of Graphene/Liquid Crystalline Elastomer Composite Filaments
Advanced Functional Materials, EarlyView.Polydomain filaments from graphene/liquid crystalline elastomer (LCE) composites are scalably‐manufactured by wet spinning across a wide range of diameters (≈137–1128 µm) at a speed up to 4500 m h−1 through a double diffusion coagulation mechanism, enabling fast actuation and optimized mechanical performance for broad applications.
Antonio Proctor Martinez +5 more
wiley +1 more source
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect [PDF]
We provide new empirical evidence on volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Leverage and volatility feedback effects among continuous and jump components of the S&P500 price and ...
Audrino, Francesco, Hu, Yujia
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Tunable Tactile Synapses Enabled by Erasable Doping in Iongel‐Gated Nanotube Network Transistors
Advanced Functional Materials, EarlyView.Artificial tactile synaptic sensors are realized by an iongel‐gated single‐walled carbon nanotube (SWCNT) transistor with reversible doping characteristics. The device senses and memorizes tactile stimuli and exhibits gate bias‐dependent excitatory or inhibitory synaptic behavior.
Yan Huang +5 more
wiley +1 more source
STOCK MARKET VOLATILITY AND THE FORECASTING ACCURACY OF IMPLIED VOLATILITY INDICES [PDF]
This study develops a new model-free benchmark of implied volatility for the Japanese stock market similar in construction to the new VIX based on the S&P 500 index.
Kazuhiko NISHINA +2 more
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Multielement Filament Memristor Enabling Multifunctional Neuromorphic Device
Advanced Functional Materials, EarlyView.A new type of memristor featuring a hybrid mechanism and multifunctional applications is introduced. The proposed single device combines the alloy metal filament with the oxygen vacancy filament to achieve both resistive and threshold switching with enhanced reliability, mimicking both biological synapses and nociceptors. This study shows that filament‐
Mingu Jang +4 more
wiley +1 more source
Forecasting volatility: does continuous time do better than discrete time? [PDF]
In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model.
Carles Bretó, Helena Veiga
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