Results 261 to 270 of about 746,155 (294)

Volatility of volatility is (also) rough

Journal of Futures Markets, 2019
AbstractUsing high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets.
José Da Fonseca, José Da Fonseca, Wenjun Zhang   +2 more
openaire   +2 more sources

Pathways and relative contributions to arsenic volatilization from rice plants and paddy soil.

Environmental Science and Technology, 2012
Recent studies have shown that higher plants are unable to methylate arsenic (As), but it is not known whether methylated As species taken up by plants can be volatilized.
Yan Jia, H. Huang, Guoxin Sun, F. Zhao, Yong-guan Zhu   +4 more
semanticscholar   +1 more source

Volatility Forecasting for Low-Volatility Investing

SSRN Electronic Journal, 2022
Low-volatility investing often involves sorting and selecting stocks based on retrospective risk measures, for example, the historical standard deviation of returns. In this paper, we use the volatility forecasts from a wide spectrum of volatility models to sort and select stocks and estimate portfolio weights.
Conrad, Christian, Kleen, Onno, Lonn, Rasmus   +2 more
openaire   +1 more source

A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

SSRN Electronic Journal, 2004
In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
openaire   +2 more sources

Efficiency of urease and nitrification inhibitors in reducing ammonia volatilization from diverse nitrogen fertilizers applied to different soil types and wheat straw mulching.

The Journal of the Science of Food and Agriculture, 2011
BACKGROUND Some authors suggest that the absence of tillage in agricultural soils might have an influence on the efficiency of nitrogen applied in the soil surface.
Sara San Francisco, O. Urrutia, V. Martin, Angelos Peristeropoulos, J. García-Mina   +4 more
semanticscholar   +1 more source

Board Structure and the Volatility of Volatility

SSRN Electronic Journal, 2020
Using the NYSE/NASDAQ listing rule changes to establish causality, we are the first to empirically show that board structure can significantly reduce the volatility of volatility of stock returns, which can be a consequence of erratic decision-making. The effect is moderated by firm characteristics such as size and fundamental risk.
Sebastian Trabert, Alexander Merz
openaire   +2 more sources

Trade fragmentation and volatility-of-volatility networks

Journal of International Financial Markets, Institutions and Money
International ...
Bastidon, Cécile, Jawadi, Fredj
openaire   +3 more sources

Nonvolatile, semivolatile, or volatile: Redefining volatile for volatile organic compounds

Journal of the Air & Waste Management Association, 2014
Although widely used in air quality regulatory frameworks, the term "volatile organic compound" (VOC) is poorly defined. Numerous standardized tests are currently used in regulations to determine VOC content (and thus volatility), but in many cases the tests do not agree with each other, nor do they always accurately represent actual evaporation rates ...
Uyên-Uyên T. Võ, Michael P. Morris
openaire   +3 more sources

Nitrogen Source Effects on Ammonia Volatilization as Measured with Semi-Static Chambers

, 2012
Published in Agron. J. 104:1595–1603 (2012) Posted online 5 Sep 2012. doi:10.2134/agronj2012.0210 Copyright © 2012 by the American Society of Agronomy, 5585 Guilford Road, Madison, WI 53711. All rights reserved.
C. Jantalia, A. Halvorson, R. Follett, B. Alves, J. C. Polidoro, S. Urquiaga   +5 more
semanticscholar   +1 more source

Banding of urea increased ammonia volatilization in a dry acidic soil.

Journal of Environmental Quality, 2009
Volatilization of ammonia following application of urea contributes to smog formation and degradation of natural ecosystems. The objective of this study was to evaluate the impact of (i) incorporation and banding of urea and (ii) surface broadcast of ...
P. Rochette, J. Macdonald, D. Angers, M. Chantigny, M. Gasser, N. Bertrand   +5 more
semanticscholar   +1 more source