Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy. [PDF]
Entropy (Basel)Zou Y, Chen Q, Han J, Xiao M.
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Changes in the network structure of energy markets and financial markets under the different shocks of the Russia-Ukraine conflict and COVID-19. [PDF]
PLoS OneLi F, Tong M, Guan S.
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Stochastic decisions support optimal foraging of volatile environments, and are disrupted by anxiety. [PDF]
Cogn Affect Behav NeurosciLloyd A, McKay R, Furl N.
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Pollution Characterization and Environmental Impact Evaluation of Atmospheric Intermediate Volatile Organic Compounds: A Review. [PDF]
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Computational processes of simultaneous learning of stochasticity and volatility in humans. [PDF]
Nat CommunPiray P, Daw ND.
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Concluding remarks: Atmospheric chemistry in cold environments.
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Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
SSRN Electronic Journal, 2018Predicting volatility is of primary importance for business applications in risk management, asset allocation, and the pricing of derivative instruments.
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The Volatility-of-Volatility Term Structure [PDF]
SSRN Electronic Journal, 2018 We apply the model-free implied risk-neutral measure of variance to VIX options to investigate the volatility-of-volatility (VVIX) term structure. We find that the information content of the VVIX term structure is fairly distinct from the VIX term ...
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