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The Impact of Volatility Targeting
Journal of Portfolio Management, 2018Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios than portfolios with a constant notional exposure. The authors show that this result only holds for risk assets, such as equity and credit, and they link this ...
Campbell R. Harvey +5 more
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, 2004 The authors study the empirical, cross-country relationship between macroeconomic volatility and long-run economic growth. They address four central questions: 1) Does the volatility-growth link depend on country and policy characteristics, such as the level of development or trade openness?
Hnatkovska, Viktoria, Loayza, Norman
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Stochastic Volatility III: Volatility Models and Volatility Surfaces [PDF]
SSRN Electronic Journal, 2010 We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive relationships between the different concepts. The relationships are of an exact analytical type if this is possible, else we use expansions to obtain approximate expressions. We close with a discussion of the mixing theorem.
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A Simple Approximate Long-Memory Model of Realized Volatility
, 2008The paper proposes an additive cascade model of volatility components defined over different time periods. This volatility cascade leads to a simple AR-type model in the realized volatility with the feature of considering different volatility components ...
Fulvio Corsi
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Trade fragmentation and volatility-of-volatility networks
Journal of International Financial Markets, Institutions and MoneyInternational ...
Bastidon, Cécile, Jawadi, Fredj
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Volatility Forecasting for Low-Volatility Investing
SSRN Electronic Journal, 2022Low-volatility investing often involves sorting and selecting stocks based on retrospective risk measures, for example, the historical standard deviation of returns. In this paper, we use the volatility forecasts from a wide spectrum of volatility models to sort and select stocks and estimate portfolio weights.
Conrad, Christian +2 more
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A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility
SSRN Electronic Journal, 2004In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
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Nonvolatile, semivolatile, or volatile: Redefining volatile for volatile organic compounds
Journal of the Air & Waste Management Association, 2014Although widely used in air quality regulatory frameworks, the term "volatile organic compound" (VOC) is poorly defined. Numerous standardized tests are currently used in regulations to determine VOC content (and thus volatility), but in many cases the tests do not agree with each other, nor do they always accurately represent actual evaporation rates ...
Uyên-Uyên T. Võ, Michael P. Morris
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The Volatility of a Firm's Assets and the Leverage Effect
, 2015We investigate the volatility of firms’ assets in contrast to existing studies that focus on equity volatility. We estimate asset volatility using a comprehensive data set on the market values of corporate security returns.
Jaewon Choi, M. Richardson
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Volatile/non-volatile memory cell
2011The invention concerns a memory device comprising at least one memory cell comprising: a first transistor (102) coupled between a first storage node (106) and a first resistance switching element (202) programmed to have a first resistance; and a second transistor (104) coupled between a second storage node (108) and a second resistance switching ...
Guillemenet, Yoann +4 more
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