Results 31 to 40 of about 1,041,681 (327)
Volatility and arbitrage [PDF]
The Annals of Applied Probability, 2018 The capitalization-weighted total relative variation $\sum_{i=1}^d \int_0^\cdot _i (t) \mathrm{d} \langle \log _i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $ _i (\cdot)$ is an observable and nondecreasing function of time.
Fernholz, E. Robert +2 more
openaire +5 more sources
Distribution Characteristics of Wind Speed Relative Volatility and Its Influence on Output Power
Journal of Marine Science and Engineering, 2023 The stochastic fluctuations of wind speed and wind power curve modeling are complex tasks due to fluctuations in the difference between actual and theoretical power output, leading to a reduction in the accuracy of wind-power curve models.
Shigang Qin, Deshun Liu
doaj +1 more source
Local Volatility of Volatility for the VIX Market [PDF]
SSRN Electronic Journal, 2011 ISSN:1380 ...
Walter Farkas +2 more
openaire +5 more sources
Entropy, 2021 This study uses the fourteen stock indices as the sample and then utilizes eight parametric volatility forecasting models and eight composed volatility forecasting models to explore whether the neural network approach and the settings of leverage effect ...
Jung-Bin Su
doaj +1 more source
Asymmetric Price Volatility of Onion in India
Indian journal of agricultural economics, 2021 Price of onion shows a high degree of volatility. Price volatility is said to be asymmetric when it is affected by positive and negative shocks of same magnitude with different degree.
Debopam Rakshit, R. Paul, S. Panwar
semanticscholar +1 more source
Journal of Forecasting, 2020 This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models.
David Gabauer
semanticscholar +1 more source
COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets
Journal of Risk and Financial Management, 2021 The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore stability within this sector? To answer this question, we investigate stock market data from fifty-eight countries from January 2020 to ...
Ender Demir +3 more
semanticscholar +1 more source
Volatility Options in Rough Volatility Models [PDF]
SSRN Electronic Journal, 2018 We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and hedge ratios in models where log-volatility follows a Gaussian Volterra process.
Peter Tankov +3 more
openaire +3 more sources
KAJIAN MODEL HIDDEN MARKOV UNTUK MENDUGA VOLATILITAS INDEKS HARGA SAHAM
Prima: Jurnal Pendidikan Matematika, 2019 Abstrak Volatility is a measure of uncertainty. Volatility can either be measured by using the standard deviation or variance between returns. The problem is volatility is unobservable, and estimating volatility is not a trivial task.
Abdul Baist
doaj +1 more source
A simple joint model for returns, volatility and volatility of volatility
Journal of Econometrics, 2023 Abstract We propose a model that allows for conditional heteroskedasticity in the volatility of asset returns and incorporates current return information into the volatility nowcast and forecast. Our model can capture all stylised facts of asset returns even with Gaussian innovations and is simple to implement.
openaire +2 more sources