Results 61 to 70 of about 230,659 (313)
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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Advanced Engineering Materials, EarlyView.This article describes the preparation and characterization of poly(ε‐caprolactone) electrospun composite fibers incorporating sol‐gel‐derived bioactive glass particles doped with B and Cu. Scanning electron microscopy, energy‐dispersive X‐ray spectroscopy, Fourier‐transform infrared spectroscopy, contact angle, acellular bioactivity, mechanical and ...
Elisa Piatti +5 more
wiley +1 more source
Trade Volatility in the Association of Southeast Asian Nations Plus Three: Impacts and Determinants
Asian Development Review, 2020 This paper investigates trade volatility in the Association of Southeast Asian Nations Plus Three (ASEAN+3) and its links with output volatility, export diversification, and free trade agreements.
Thi Nguyet Anh Nguyen +2 more
doaj +1 more source
Advanced Engineering Materials, EarlyView.This study presents micropleated filters manufactured by needleless electrospinning. Nanofibers are deposited onto uniaxially pre‐stretched substrates that contract upon release, forming densely packed micropleats. This architecture increases effective surface area without enlarging the filter size, achieving quality factors comparable to those of ...
Aleksandr Fadeev +6 more
wiley +1 more source
Comparative Analysis of Market Volatility in Indian Banking and IT Sectors by using Average Decline Model [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2017 The stock market volatility is depends on three major features, complete volatility, volatility fluctuations, and volatility attention and they are calculate by the statistical techniques. Comparative analysis of market volatility for two major index i.e.
Kirti AREKAR, Rinku JAIN
doaj
Range-based volatility, expected stock returns, and the low volatility anomaly. [PDF]
PLoS ONE, 2017 One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns.
Benjamin M Blau, Ryan J Whitby
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An Inkjet‐Printed Platinum‐Based Temperature Sensing Element on Polyimide Substrates
Advanced Engineering Materials, EarlyView.An inkjet‐printed, meander‐structured, nanoparticle platinum‐based resistive temperature sensors on polyimide substrates are demonstrated as proof‐of‐concept. Optimized sintering at 250°C enables stable conductive structures. The Pt100‐ and Pt1000‐type sensors exhibit linear resistance–temperature characteristics with stable TCR in the 20°C–80°C range,
Shawon Alam +6 more
wiley +1 more source