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Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
(Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2021)
Useful Strategies for Algal Volatile Analysis
(BENTHAM SCIENCE PUBL LTD, 2009)
The production of volatile organic compounds (VOC) by plants is well known. However, few scientific groups have studied VOC produced by green, brown and red algae. Headspace collection of volatiles and solid phase ...
Volatilidade implícita e histórica: um estudo acerca do conteúdo informacional em opções de ações
(Universidade Federal do Rio Grande do NorteBrasilUFRNAdministração, 2021-04-22)
The following paper aims to study the informational content about future volatility in Implicit and historical volatility. In order to do that, using data of Petrobrás Stocks and its options from january 2010 to december ...
Relationship Between the Different Aspects Related to Coffee Quality and Their Volatile Compounds
(2016-07-01)
This paper provides, for the first time, an overview of different aspects related to the quality of coffee beans and their volatile fractions: species/cultivars, geographic origins, bean defects, and types of beverages, ...
La volatilidad, su cálculo y su incidencia en los precios de los derivados
(Universidad de Palermo, 2008-08)
Si por definición llamamos derivados a las operaciones cuyo precio o prima deriva del precio del bien subyacente, entonces la volatilidad del mismo debe tener alguna relación con la determinación del precio de los contratos ...
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDYALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY
(Sociedade Brasileira de Econometria, 1999)
Implied volatility smirk in Lévy markets
(2016)
We introduce skewed L evy models, characterized by a symmetric jump measure multiplied by dumping exponential factor. This models exhibit a clear implied volatility pattern, where the dumping parameter controls the skew ...