Results 51 to 60 of about 14,628 (253)

Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach

Journal of Forecasting, EarlyView.
ABSTRACT Based on a joint quantile and expected shortfall semiparametric methodology, we propose a novel approach to forecasting market risk conditioned to transition risk exposure. This method allows us to forecast two climate‐related financial risk measures called CoClimateVaR$$ CoClimateVaR $$ and CoClimateES$$ CoClimateES $$, being jointly ...
Laura Garcia‐Jorcano, Lidia Sanchis‐Marco   +1 more
wiley   +1 more source

Skewness Premium for Short‐Term Exposure to Squared Market Returns

Journal of Futures Markets, EarlyView.
ABSTRACT Following Kraus and Litzenberger, the skewness of stock returns is often modeled as exposure to the square of the market return. We use a trading strategy in S&P 500 options that creates exposure to the square of the S&P 500 return without affecting other characteristics of a direct index investment.
Martin Wallmeier
wiley   +1 more source

Asymmetric Uncertainty Around Earnings Announcements: Evidence from Options Markets

American Business Review
We use the Indian stock options market to study the evolution of uncertainty and asymmetric uncertainty around earnings announcements (EAs). We find that uncertainty (implied volatility) and asymmetric uncertainty (options skew) increase monotonically ...
Sumit Saurav, Sobhesh Kumar Agarwalla, Jayanth R. Varma   +2 more
doaj   +1 more source

But does it taste good? A plea to consider the importance of flavor in managing plant genetic resources

PLANTS, PEOPLE, PLANET, EarlyView.
Crop genetic resources, particularly seeds held in ex situ germplasm collections, have enormous value in breeding climate‐resilient crops. Much of this value accrues from information associated with germplasm accessions. Here, we argue that flavor, culinary attributes, and other traditional ecological knowledge (TEK) are important characteristics ...
Eric J. B. von Wettberg, Chanda Robinson Banks, Debarati Chakraborty, Tsegaye Getahun, Melike Bakir, Giovanna Sassi, Jasmine A. Hart, Bailey Kretzler, Niloofar Layegh‐Nikravesh, Michael B. Kantar, Yolanda H. Chen, Daniel Tobin, Jana Kraft, Colin K. Khoury, Graham J. King   +14 more
wiley   +1 more source

A market model for stochastic smile: a conditional density approach [PDF]

, 2005
The purpose of this paper is to introduce a new approach that allows to construct no-arbitrage market models of for implied volatility surfaces (in other words, stochastic smile models).
Zilber, A.
core   +2 more sources

Erving Goffman at 100: A Chameleon Seen as a Rorschach Test within a Kaleidoscope

Symbolic Interaction, EarlyView.
The 100th anniversary of Erving Goffman's birth was in 2022. Drawing on his work, the Goffman archives, the secondary literature, and personal experiences with him and those in his university of Chicago cohort, I reflect on some implications of his work and life, and the inseparable issues of understanding society.
Gary T. Marx
wiley   +1 more source

Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market [PDF]

, 2010
In this paper we examine the importance of mean reversion and spikes in the stochastic behaviour of the underlying asset when pricing options on power.
Bessembinder, Black, Branger, Carr, Cerny, Chacko, Clewlow, Dai, Das, Duffie, Elliott, Escribano, Ethier, Geman, Geman, Glasserman, Heston, Huisman, Longstaff, Lucia, Merton, Merton, Nikos K. Nomikos, Nomikos, Orestes A. Soldatos, Rebonato, Samuleson, Schwartz, Vasicek, Villaplana, Weron   +30 more
core   +1 more source

Science Triggers and Situational Interest in Everyday Family Life

Journal of Research in Science Teaching, EarlyView.
ABSTRACT Interest in science is critical for science learning. The family plays a major role in supporting the development of children's interest in science by eliciting and fostering interest and engagement with science content and practice. This study characterizes triggers for interest in science in everyday family life and measures the duration of ...
Irit Vivante, Dana Vedder‐Weiss
wiley   +1 more source

Saddle-Point Approach to Large-Time Volatility Smile [PDF]

, 2022
Chun Yat Yeung, Ali Hirsa
openalex   +3 more sources

TBLT, Engagement, and Group Synchronicity: Exploring the Relationships between Affective, Social, and Cognitive Aspects of Task‐Based Performance

TESOL Quarterly, EarlyView.
Abstract This classroom‐based exploratory study examined the relationships between affective, social, and cognitive aspects of second language (L2) learners' task‐based performance. In responding to practical challenges when TBLT is implemented in the real‐world context, we collected observational data from multiple sources.
Masatoshi Sato, Gonzalo Salas, Lani Freeborn, Azar Tajabadi   +3 more
wiley   +1 more source