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Modelling the volatility of crude oil returns: Jumps and volatility forecasts
International Journal of Finance and Economics, 2020 © 2020 John Wiley & Sons, Ltd. This is the peer reviewed version of the following article: Dutta, A., Bouri, E., Roubaud, D. (2020). Modelling the volatility of crude oil returns: Jumps and volatility forecasts.
Anupam Dutta, Elie Bouri, D. Roubaud
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Asymmetric thresholds of macroeconomic volatility's impact on stock volatility in developing economies: a study in Vietnam [PDF]
Journal of Economics and DevelopmentPurpose – This paper examines the impact of macroeconomic volatility on stock volatility, both under normal conditions and during the COVID-19 pandemic in Vietnam.
Lien Thi Nguyen +2 more
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Volatility of Volatility and Tail Risk Premiums [PDF]
Finance and Economics Discussion Series, 2013 This paper reports on tail risk premiums in two tail risk hedging strategies: the S&P 500 puts and the VIX calls. As a new measure of tail risk, we suggest using a model-free, risk-neutral measure of the volatility of volatility implied by a cross section of the VIX options, which we call the VVIX index.
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The Long-lived Volatility of Korean Stock Market and Its Relation to Macroeconomic Conditions
KDI Journal of Economic Policy, 2013 This study aims to understand the long-run movement of volatility in Korean stock market by decomposing stock volatility into the long-lived and the short-lived components.
Kim, Young Il
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Frontiers in Public Health, 2022 The outbreak of the COVID-19 epidemic intensified the volatility of commodity markets (the energy and precious metals markets), which created a significant negative impact on the volatility spillovers among these markets. It may also have triggered a new
Xiaoyu Tan +5 more
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A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2014 We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Nistor, Victor +2 more
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Physica A: Statistical Mechanics and its Applications, 2007 We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio.
A. Christian Silva, Richard E. Prange
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FEBS Letters, EarlyView.UDP‐glucuronic acid 4‐epimerase (UGAepi) catalyzes NAD+‐dependent interconversion of UDP‐glucuronic acid (UDP‐GlcA) and UDP‐galacturonic acid (UDP‐GalA) via C4‐oxidation, 4‐keto‐intermediate rotation, and C4‐reduction. Here, Borg et al. examined the role of the substrate's carboxylate group in the enzymic mechanism by analyzing NADH‐dependent reduction
Annika J. E. Borg +2 more
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Algorithms, 2022 This paper advances a volatility-regime-switching mechanism to investigate the intensity and direction of the volatility spillover effect in carbon–energy markets.
Leon Li
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TRPM8 levels determine tumor vulnerability to channel agonists
Molecular Oncology, EarlyView.TRPM8 is a Ca2+ permissive channel. Regardless of the amount of its transcript, high levels of TRPM8 protein mark different tumors, including prostate, breast, colorectal, and lung carcinomas. Targeting TRPM8 with channel agonists stimulates inward calcium currents followed by emptying of cytosolic Ca2+ stores in cancer cells.
Alessandro Alaimo +18 more
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