Results 51 to 60 of about 590,055 (198)
Volatile and semi-volatile components of jetsam ambergris
Natural Product Research, 2019 Volatile and semi-volatile compounds account for the odors, long valued in the perfumery industry, of the natural product, ambergris. Here we demonstrate application of solid phase micro extraction (SPME) and gas chromatography-mass spectrometry (GC-MS) to headspace analysis of the volatiles and semi-volatiles of jetsam ambergris. The samples collected
Michael J. Wilde +3 more
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Analytical Pricing of Discretely Sampled Volatility Swaps Under the 4/2 Stochastic Volatility Model
RisksThis paper develops a unified analytical framework for pricing discretely sampled volatility-average swaps under the 4/2 stochastic volatility model.
Sanae Rujivan +3 more
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Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria
Binus Business Review, 2016 The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in ...
Adedoyin I. Lawal +2 more
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Role of the Global Volatility Indices in Predicting the Volatility Index of the Indian Economy
Risks, 2022 Movements in the volatility index of the Indian economy are influenced by global volatility indices (fear index). This study evaluates the influence of various global implied volatility indices in forecasting the day-to-day binary movements in the ...
Akhilesh Prasad, Priti Bakhshi
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Estimation of integrated volatility in stochastic volatility models [PDF]
Applied Stochastic Models in Business and Industry, 2005 In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log-returns). We derive consistency and distributional results for the estimators given high-frequency data, especially taking into account what kind of process we may add to ...
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Volatility-of-Volatility Risk in Asset Pricing
SSRN Electronic Journal, 2020 Abstract This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is statistically and economically ...
Te-Feng Chen +3 more
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It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model [PDF]
Journal of Empirical Finance, 2015 The persistent nature of equity volatility is investigated by means of a multi-factorstochastic volatility model with time varying parameters. The parameters are estimated bymeans of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model for the realized volatility series.
GRASSI, STEFANO +1 more
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Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector
Metalurgija, 2015 This paper presents the results obtained following the testing of five hypotheses regarding conditional return and volatility of the most listed European stocks in the steel & iron subsector.
V. Chirila, C. Chirila
doaj
Risk-return-volume causality on the Croatian stock market
Ekonomski VjesnikPurpose: Causality between stock returns, volatility and traded volume for 10 most liquid stocks from Zagreb Stock Exchange (ZSE) is examined in this paper.
Jelena Vidović
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Mathematics, 2020 One of the main characteristics of cryptocurrencies is the high volatility of their exchange rates. In a previous work, the authors found that a process with volatility clusters displays a volatility series with a high Hurst exponent.
Venelina Nikolova +3 more
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