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A new measure of volatility using induced heavy moving averages
(Technological and Economic Development of Economy, 2020)
A new measure of volatility using induced heavy moving averages
(Technological and Economic Development of Economy, 2020)
Early online detection of high volatility clusters using Particle Filters
(Elsevier, 2016-07)
This work presents a novel online early detector of high-volatility clusters based on uGARCH models (a variation of the GARCH model), risk-sensitive particle-filtering-based estimators, and hypothesis testing procedures. ...
Determination of volatiles produced during radiation processing in Laurus cinnamomum
(PERGAMON-ELSEVIER SCIENCE LTD, 2009)
In order to protect food from pathogenic microorganisms as well as increase its shelf-life, while keeping sensorial properties (e.g., odor and taste), which are important properties required by spice buyers, it is necessary ...
Reality check for volatility models
(Escola de Pós-Graduação em Economia da FGV, 2001-09-27)
Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type ...
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
(Elsevier, 2014)
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior ...
Estimation of volatility of selected oil production projects
(Elsevier Science BvAmsterdamHolanda, 2006)
What Exactly is 'Bad News' in Foreign Exchange Markets?: Evidence from Latin American Markets
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2008)