Results 11 to 20 of about 730,568 (347)
How Does the Volatility of Volatility Depend on Volatility? [PDF]
Risks, 2020 We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance parameter close to that of a log-normal model, albeit with an empirical autocorrelation function that ...
Sigurd Emil Rømer, Rolf Poulsen
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Volatility-of-Volatility Risk [PDF]
Journal of Financial and Quantitative Analysis, 2018 We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility indices, identified model-free as the VIX and VVIX, respectively, are only weakly related to each other.
Darien Huang +3 more
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On the Volatility of Volatility [PDF]
SSRN Electronic Journal, 2006 The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility of the SPX, and is observed to be correlated with the 30-day realized volatility of the SPX ...
Stephen D. H. Hsu, Brian M. Murray
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The Volatility of Realized Volatility [PDF]
Econometric Reviews, 2008 In recent years, with the availability of high-frequency financial market data modeling realized volatility has become a new and innovative research direction. The construction of “observable” or realized volatility series from intra-day transaction data and the use of standard time-series techniques has lead to promising strategies for modeling and ...
CORSI, Fulvio +3 more
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Production of Methyl-Iodide in the Environment
Frontiers in Microbiology, 2021 Iodine is an essential micronutrient for most of the living beings, including humans. Besides its indispensable role in animals, it also plays an important role in the environment. It undergoes several chemical and biological transformations resulting in
Eva Duborská +6 more
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Recovery of zinc from zinc oxide dust containing multiple metal elements by carbothermal reduction [PDF]
Journal of Mining and Metallurgy. Section B: Metallurgy, 2022 A carbothermal reduction process simulating EAF process is used to handle the zinc oxide dust, and the zinc in the dust can be extracted and recovered efficiently. The crude zinc and lead-tin alloy were obtained finally.
Lei F.-G. +5 more
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SSRN Electronic Journal, 2005 Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications ...
Andersen, Torben G. +3 more
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SSRN Electronic Journal, 2013 We examine whether fundamental measures of volatility are incremental to market based measures of volatility in (i) predicting bankruptcies (out of sample), (ii) explaining cross-sectional variation in credit spreads, and (iii) explaining future credit excess returns.
Correia, Maria +2 more
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Study on the Causes for ICP-MS Signal Intensity Declination of Os Water Absorption Liquid
Yankuang ceshi, 2018 BACKGROUND Os can be separated from the sample matrix by distillation, and the absorbing liquid can be introduced into ICP-MS directly, which is a key step of the molybdenite Re-Os isotopic age analysis.
ZHOU Li-min +5 more
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Nutrient loss in composting of agroindustrial residues [PDF]
Engenharia Agrícola, 2013 The management of composting may influence the characteristics of the produced compounds. The experiment used three frequencies of plowing, combined with the conditions: with and without coverage of the composting patio, with and without the use of ...
Leocir J. Carneiro +4 more
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