Academic literature on the topic 'Volatilit'
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Journal articles on the topic "Volatilit"
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Keber, Christian. "Genetisch ermittelte Approximationen zur Bestimmung der impliziten Volatilit�t." OR Spectrum 21, no. 1-2 (February 1, 1999): 205–38. http://dx.doi.org/10.1007/s002910050087.
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Sholihah, Fathimah, and Nunung Kusnadi. "Dampak Pengembangan Biofuels terhadap Volatilitas Harga Beberapa Komoditas Pangan di Pasar Dunia." Jurnal Agro Ekonomi 37, no. 2 (April 20, 2020): 157. http://dx.doi.org/10.21082/jae.v37n2.2019.157-170.
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<strong>English</strong><br />Agricultural product based biofuels are the connecting points of the linkages between the global agricultural commodity, energy, and financial markets. Since the global energy markets and financial markets are volatile in nature, rapid expansion of biofuels industry results in increasing volatility of agricultural commodity prices, particularly food prices. The aims of this research is to review price volatility of some food commodities (wheat, corn and soybean) in in the world markets and to analyze the impact of global biofuels development on the price volatility. The price volatility is analyzed using the ARIMA and ARCH GARCH methods. The results show that prices of food commodities have been more volatile since the United States of America imposed the Renewable Fuel Standard Mandate-2 policy in 2007. The Corn and soybean price volatilities are higher than rice and wheat. The stronger are their linkages with biofuels development, the higher are their price volatilities. Increasing food price volatility and level should be considered as challenges and opportunities for accelerating food production growth through technological innovation and land expansion toward the achievement food self-sufficiency such that the national food security system is resilient against global market disturbances.<br /><br /><br /><strong>Indonesian</strong><br />Biofuels berbahan baku hasil pertanian menjadi komoditas penghubung antara pasar komoditas pertanian dengan pasar energi, dan selanjutnya dengan pasar finansial dunia. Oleh karena pasar energi dan pasar finansial dunia rentan gejolak maka pengembangan biofuel secara besar-besaran berdampak pada peningkatan volatilitas harga komoditas pertanian, utamanya komoditas pangan pokok. Penelitian bertujuan untuk meninjau volatilitas harga jagung, gandum, beras dan kedelai di pasar dunia serta untuk menganalisis dampak pengembangan biofuels terhadap volatilitas harga tersebut. Analisis volatilitas harga dilakukan dengan metode ARIMA dan ARCH GARCH. Penelitian menunjukkan bahwa harga komoditas pangan lebih volatil setelah Amerika Serikat menerapkan kebijakan Renewable Fuels Standard Mandate-2 tahun 2007. Volatilitas harga jagung dan kedelai lebih tinggi daripada beras dan gandum. Semakin besar keterkaitan komoditas dengan pengembangan biofuels maka semakin besar pula volatilitas harga komoditas tersebut. Peningkatan volatilitas dan level harga tersebut dapat dipandang sebagai tantangan dan peluang untuk memacu peningkatan produksi pangan melalui pengembangan teknologi dan ekstensifikasi lahan pertanian guna meningkatkan kemandirian pangan sehingga sistem ketahanan pangan nasional lebih tahan menghadapi gejolak pasar global.
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Carolina, Ratna Anita, Sri Mulatsih, and Lukytawati Anggraeni. "Analisis Volatilitas Harga dan Integrasi Pasar Kedelai Indonesia dengan Pasar Kedelai Dunia." Jurnal Agro Ekonomi 34, no. 1 (May 1, 2016): 47. http://dx.doi.org/10.21082/jae.v34n1.2016.47-66.
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<strong>English</strong><br />The government is necessary to maintain food price stability in order to support food security in the country. This study aims to analyze domestic (local and imported) soybean prices volatility, and analyze the market integration and the price transmission elasticity that occurs between domestic soybean market and world soybean market. Price volatility analysis using ARCH/GARCH models showed that the world soybean price is more volatile than domestic soybean price, while in domestic market, local soybean price showed more volatility than imported price. Ravallion model was used to analyze market integration and price transmission between world and domestic soybean markets. The result showed that there is no short term market integration, but there exist the long term market integration with a weak price transmission between world and domestic soybean market. <br /><br /><strong>Indonesia</strong><br />Stabilisasi harga pangan pokok, termasuk di dalamnya kedelai, merupakan salah satu hal yang perlu dijaga oleh pemerintah untuk mendukung ketahanan pangan. Penelitian ini bertujuan untuk menganalisis volatilitas harga domestik kedelai, baik lokal maupun impor, serta menganalisis integrasi pasar dan transmisi harga yang terjadi antara pasar kedelai domestik dengan pasar kedelai dunia. Analisis volatilitas harga kedelai dengan menggunakan model ARCH/GARCH menunjukkan bahwa harga kedelai dunia lebih volatil dibandingkan dengan harga kedelai domestik; sementara pada pasar kedelai domestik, harga kedelai lokal lebih volatil dibandingkan dengan harga kedelai impor. Model Ravallion digunakan untuk menganalisis integrasi pasar dan transmisi harga antara pasar kedelai dunia dengan pasar kedelai domestik. Hasil analisis menunjukkan bahwa tidak terjadi integrasi jangka pendek, namun terjadi integrasi jangka panjang dengan proses transmisi harga yang lemah antara pasar kedelai dunia dengan pasar kedelai domestik.
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Kays, Stanley J. "NON-ETHYLENE BIOLOGICALLY ACTIVE POSTHARVEST VOLATILES." HortScience 25, no. 9 (September 1990): 1180f—1180. http://dx.doi.org/10.21273/hortsci.25.9.1180f.
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While we tend to think of postharvest volatiles as nitrogen, oxygen, carbon dioxide and ethylene, harvested products are actually exposed to thousands of volatile compounds. These volatiles are derived from both organic and inorganic sources, evolving from storage room walls, insulation, wrapping materials, combusted products, plants, animals, and a myriad of other sources. Plants alone manufacture a diverse array of secondary metabolizes (estimated to be as many as 400,000) of which many display some degree of volatility. We tend to be cognizant of volatiles when they represent distinct odors. A number of volatiles, however, have significant biological activity, and under appropriate conditions may effect postharvest quality. An overview of biologically active volatile compounds and their relation to postharvest quality will be presented.
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Esteve-Redondo, Patricia, Raquel Heras-Mozos, Ernest Simó-Ramírez, Gracia López-Carballo, Carol López-de-Dicastillo, Rafael Gavara, and Pilar Hernández-Muñoz. "Innovative Systems for the Delivery of Naturally Occurring Antimicrobial Volatiles in Active Food-Packaging Technologies for Fresh and Minimally Processed Produce: Stimuli-Responsive Materials." Foods 13, no. 6 (March 11, 2024): 856. http://dx.doi.org/10.3390/foods13060856.
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Certain naturally occurring volatile organic compounds are able to mitigate food spoilage caused by microbial growth. Their considerable vapor pressure enables them to create an antimicrobial atmosphere within a package, and this property can be used for the development of active food-packaging technologies. The volatility of these molecules, however, makes their stabilization difficult and limits their effectiveness. Whilst much research is being undertaken on the use of natural antimicrobial volatiles for inhibiting microbial growth in food, less attention has been paid to the design of controlled-release mechanisms that permit the efficient application of these compounds. Most studies to date either spray the volatile directly onto the fresh product, immerse it in a solution containing the volatile, or embed the volatile in a paper disc to create a vapor in the headspace of a package. More sophisticated alternatives would be delivery systems for the sustained release of volatiles into the package headspace. Such systems are based on the encapsulation of a volatile in organic or inorganic matrices (cyclodextrins, electrospun non-wovens, polymer films, micelles, molecular frameworks, etc.). However, most of these devices lack an efficient triggering mechanism for the release of the volatile; most are activated by humidity. All of these techniques are revised in the present work, and the most recent and innovative methods for entrapping and releasing volatiles based on reversible covalent bonds are also discussed.
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Nugrahapsari, Rizka Amalia, and Idha Widi Arsanti. "Analisis Volatilitas Harga Cabai Keriting di Indonesia dengan Pendekatan ARCH GARCH." Jurnal Agro Ekonomi 36, no. 1 (September 18, 2018): 25. http://dx.doi.org/10.21082/jae.v36n1.2018.25-37.
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<strong>English</strong><br />Chili includes a strategic commodity in Indonesia because of its high price volatility that makes it a major determinant of national inflation dynamics. The government always tries to improve its capability in implementing the chili price stabilization policy. The objective of the study is to assess the volatility of curly chili price volatility in Indonesia by using the ARCH GARCH approach with daily price data of January 2011 to December 2015. The results showed that the right model to calculate chili price volatility is ARCH (1). The price volatility was low and price movement was only influenced by the volatility in the previous day, not by the price variant, so the chili price volatility in the future will be smaller. Low volatility indicates that demand and supply characteristics were predictable. Price changes gradually and predictable. Farmers’ protection policy through import restrictions improves stability of domestic supply. The policy reduces the risk of drastic decline in prices due to imported chili, so the price volatility of chili in the period 2011–2015 was lower than the previous period. However, the seasonal price variation remains. Therefore, the policy should be supported with all season chili availability assurance.<br /><br /><br /><strong>Indonesian</strong><br />Cabai termasuk komoditas strategis di Indonesia karena harganya volatil sehingga menjadi salah satu penentu utama dinamika inflasi nasional. Untuk itu, pemerintah senantiasa berusaha meningkatkan kemampuannya dalam melaksanakan kebijakan stabilisasi harga cabai. Penelitian ini bertujuan untuk mengkaji volatilitas harga cabai keriting di Indonesia dengan pendekatan ARCH GARCH dan data harga harian cabai keriting periode Januari 2011 hingga Desember 2015. Hasil penelitian menunjukkan bahwa model yang tepat untuk menghitung volatilitas harga cabai keriting adalah ARCH(1). Hasil pendugaan model menunjukkan volatilitas harga cabai keriting rendah dan pergerakan harga hanya dipengaruhi oleh volatilitas pada satu hari sebelumnya, tidak dipengaruhi varian harga, sehingga diperkirakan volatilitas harga cabai keriting di masa datang akan semakin kecil. Volatilitas yang rendah menunjukkan karakteristik waktu permintaan dan penawaran cabai keriting dapat diprediksi. Perubahan harga terjadi bertahap dan dapat diperkirakan. Kebijakan perlindungan petani melalui pembatasan impor cabai menyebabkan penyediaan cabai di dalam negeri menjadi lebih stabil. Kebijakan ini mengurangi risiko penurunan harga secara drastis akibat masuknya cabai impor, sehingga volatilitas harga cabai pada periode 2011–2015 lebih rendah dibandingkan periode sebelumnya. Namun, masih terdapat variasi harga musiman. Oleh karena itu, kebijakan ini perlu diperkuat dengan upaya jaminan sediaan cabai sepanjang musim.
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Xie, Zhisheng, Qundi Liu, Zhikun Liang, Mingqian Zhao, Xiaoxue Yu, Depo Yang, and Xinjun Xu. "The GC/MS Analysis of Volatile Components Extracted by Different Methods fromExocarpium Citri Grandis." Journal of Analytical Methods in Chemistry 2013 (2013): 1–8. http://dx.doi.org/10.1155/2013/918406.
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Volatile components fromExocarpium Citri Grandis(ECG) were, respectively, extracted by three methods, that is, steam distillation (SD), headspace solid-phase microextraction (HS-SPME), and solvent extraction (SE). A total of 81 compounds were identified by gas chromatography-mass spectrometry including 77 (SD), 56 (HS-SPME), and 48 (SE) compounds, respectively. Despite of the extraction method, terpenes (39.98~57.81%) were the main volatile components of ECG, mainly germacrene-D, limonene, 2,6,8,10,14-hexadecapentaene, 2,6,11,15-tetramethyl-, (E,E,E)-, andtrans-caryophyllene. Comparison was made among the three methods in terms of extraction profile and property. SD relatively gave an entire profile of volatile in ECG by long-time extraction; SE enabled the analysis of low volatility and high molecular weight compounds but lost some volatiles components; HS-SPME generated satisfactory extraction efficiency and gave similar results to those of SD at analytical level when consuming less sample amount, shorter extraction time, and simpler procedure. Although SD and SE were treated as traditionally preparative extractive techniques for volatiles in both small batches and large scale, HS-SPME coupled with GC/MS could be useful and appropriative for the rapid extraction and qualitative analysis of volatile components from medicinal plants at analytical level.
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Dinga, Bruno, Jimbo Henry Claver, Kum Kwa Cletus, and Shu Felix Che. "Modeling and Predicting Exchange Rate Volatility: Application of Symmetric GARCH and Asymmetric EGARCH and GJR-GARCH Models." Journal of the Cameroon Academy of Sciences 19, no. 2 (August 3, 2023): 155–78. http://dx.doi.org/10.4314/jcas.v19i2.6.
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La modélisation et la prévision de la volatilité sont devenues de plus en plus importantes ces derniers temps étant donné qu’une compréhension de la volatilité future peut aider les investisseurs et les diverses parties prenantes à minimiser leurs pertes. Cet article applique l’analyse de séries chronologiques univariées dans la modélisation et la prédiction de la volatilité des taux de change entre le FCFA Camerounais (XAF) et le Dollar Américain (USD) et entre le FCFA Camerounais et le Yuan Chinois (CNY). En utilisant les prix de clôture quotidiens du 1er Janvier 2017 au 30 Septembre 2022, les modèles d’hétéroscédasticité conditionnelle autorégressive généralisée symétrique (GARCH) et asymétrique GARCH exponentiel (EGARCH) et Glosten-Jagannathan-Runkle GARCH (GJR-GARCH) sont utilisés pour capturer des faits stylisés sur l’échange rendements des taux. Les ensembles de données dans l’échantillon et hors échantillon contiennent des données du 1er Janvier 2017 au 31 Décembre 2021 et du 1er Janvier 2022 au 30 Septembre 2022 respectivement. Les résidus sont supposés suivre les distributions normale, t et d’erreur généralisée avec leurs homologues asymétriques. En considérant le modèle avec les critères d’information d’Akaike (AIC) les plus bas, l’article trouve ARMA (0,1) + GJRGARCH (1,1) - SGED et ARMA(1,1)+GJR-GARCH(2,2) - SGED comme les modèles les plus appropriés pour décrire la volatilité des rendements des taux de change USD/XAF et CNY/XAF respectivement. De même, ARMA(0,1)+GARCH(1,1) - SGED et ARMA(1,1)+GJR-GARCH(2,2)-SGED sont les meilleurs modèles prédictifs hors échantillon pour la volatilité de taux de change USD/XAF et CNY/XAF utilisent respectivement l’erreur absolue moyenne (MAE) et l’erreur quadratique moyenne (RMSE). Les effets de levier caractérisent le taux de change CNY/XAF mais sont absents des données sur le taux de change USD/XAF. Les résultats montrent que les modèles hétéroscédastiques conditionnels peuvent être utilisés efficacement pour modéliser et prédire la volatilité conditionnelle des séries de taux de change. Cette recherche recommande que, dans la conception de politiques de taux de change appropriées, les autorités monétaires Camerounaises et la BEAC prennent en considération le fait que le marché des taux de change est très volatil et réagit différemment aux bonnes comme aux mauvaises nouvelles. Modeling and predicting volatility has become increasingly important in recent times given that an understanding of future volatility can help investors and various stakeholders to minimize their losses. This paper applies univariate time series analysis in the modeling and prediction of the volatility of the exchange rates between Cameroon’s FCFA (XAF) and the US Dollar (USD) and between Cameroon’s FCFA and the Chinese Yuan (CNY). Using daily closing prices from 01 January 2017 to 30 September 2022, both symmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and asymmetric Exponential GARCH (EGARCH) and Glosten-Jagannathan-Runkle GARCH (GJR-GARCH) models are used to capture stylized facts about exchange rate returns. The in-sample and out-of-sample data sets contain data from 01 January 2017 to 31 December 2021 and from 01 January 2022 to 30 September 2022 respectively. The residuals are assumed to follow the normal, student’s t and generalized error distributions along with their skewed counterparts. Considering the model with the lowest Akaike Information Criteria (AIC), the paper finds ARMA(0,1) + GJR-GARCH(1,1) - SGED1 and ARMA(1,1)+GJR-GARCH(2,2) - SGED as the most appropriate models to estimate the volatility of the USD/XAF and CNY/XAF exchange rate returns respectively. Equally, ARMA(0,1)+GARCH(1,1) - SGED and ARMA(1,1)+GJR-GARCH(2,2)-SGED are the best out-of-sample predictive models for the volatility of the USD/XAF and CNY/XAF exchange rate returns respectively using Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). Leverage effects are found to characterize the CNY/XAF exchange rate but absent in the USD/XAF exchange rate data. The results show that conditional heteroscedastic models can be effectively used to model and predict the conditional volatility of exchange rate series. This research recommends that, in the design of appropriate exchange rate policies, Cameroon’s monetary authorities and BEAC should take into consideration the fact that the exchange rate market is very volatile and reacts differently to both good and bad news.
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Tian, Zhen, Tomáš Magna, James M. D. Day, Klaus Mezger, Erik E. Scherer, Katharina Lodders, Remco C. Hin, Piers Koefoed, Hannah Bloom, and Kun Wang. "Potassium isotope composition of Mars reveals a mechanism of planetary volatile retention." Proceedings of the National Academy of Sciences 118, no. 39 (September 20, 2021): e2101155118. http://dx.doi.org/10.1073/pnas.2101155118.
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The abundances of water and highly to moderately volatile elements in planets are considered critical to mantle convection, surface evolution processes, and habitability. From the first flyby space probes to the more recent “Perseverance” and “Tianwen-1” missions, “follow the water,” and, more broadly, “volatiles,” has been one of the key themes of martian exploration. Ratios of volatiles relative to refractory elements (e.g., K/Th, Rb/Sr) are consistent with a higher volatile content for Mars than for Earth, despite the contrasting present-day surface conditions of those bodies. This study presents K isotope data from a spectrum of martian lithologies as an isotopic tracer for comparing the inventories of highly and moderately volatile elements and compounds of planetary bodies. Here, we show that meteorites from Mars have systematically heavier K isotopic compositions than the bulk silicate Earth, implying a greater loss of K from Mars than from Earth. The average “bulk silicate” δ41K values of Earth, Moon, Mars, and the asteroid 4-Vesta correlate with surface gravity, the Mn/Na “volatility” ratio, and most notably, bulk planet H2O abundance. These relationships indicate that planetary volatile abundances result from variable volatile loss during accretionary growth in which larger mass bodies preferentially retain volatile elements over lower mass objects. There is likely a threshold on the size requirements of rocky (exo)planets to retain enough H2O to enable habitability and plate tectonics, with mass exceeding that of Mars.
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Alberola, Ricardo. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market." Lecturas de Economía, no. 66 (October 23, 2009): 251–76. http://dx.doi.org/10.17533/udea.le.n66a2607.
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Este artículo analiza las regularidades más comunes en las series de tiempo del rendimiento diario de las acciones del mercado de energía de España, desde un punto de vista empírico. Al ser una herramienta poderosa para modelar su volatilidad, ajustamos una selección de procesos de heterocedasticidad condicional autorregresiva (ARCH) a las series. Se encuentra que solo dos series tienen una relación significativa, aunque diferente, entre el rendimiento condicional esperado de la acción y su varianza condicional: Enagas, cuya relación es negativa y Cepsa, cuya relación es positiva. Se encuentra, además, que el mercado eléctrico ha sido el más volátil durante el período analizado. Palabras clave: series financieras, acciones, rendimiento, riesgo, volatilidad, modelos ARCH, puntos de cambio estructural. Clasificación JEL: C22. Abstract: This paper analyzes the most common regularities of daily stock returns time series in the Spanish Energy Market from an empirical point of view. As they are a powerful tool, we fit a selection of developments of Autoregressive Conditional Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a significant and different relationship between the expected conditional stock return and its own conditional variance: Enagas (negative) and Cepsa (positive). It also finds that the electric market has been the most volatile market during the period under analysis. Keywords: financial series, stock, return, risk, volatility, ARCH model, structural change points. JEL classification: C22. Résumé: Cet article analyse, du point de vue empirique, les fréquences les plus communes dans les séries de temps du rendement journalier des actions du marché espagnol de l’énergie. Etant donné qu’il s’agit d’un outil puissant pour modeler leur volatilité, nous avons ajusté les séries à travers une sélection de processus d’heterocedasticité conditionnelle autorégressive (ARCH). Nous trouvons qu’il n’y a que deux séries qu’on une relation significative mais différente entre le rendement conditionnel attendu de l’action et sa variance conditionnelle : il s´agit de Enagas dont sa relation est négative et Cepsa dont sa relation est positive. Nos trouvons également que le marché d’électricité a été parmi tous les plus volatil pendant la période d’étude. Mots clés: séries financières, actions, rendement, risque, volatilité, modèles ARCH, points de changement structurel. Classification JEL: C22.
Dissertations / Theses on the topic "Volatilit"
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Hrbek, Filip. "Metody předvídání volatility." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264689.
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In this masterthesis I have rewied basic approaches to volatility estimating. These approaches are based on classical and Bayesian statistics. I have applied the volatility models for the purpose of volatility forecasting of a different foreign exchange (EURUSD, GBPUSD and CZKEUR) in the different period (from a second period to a day period). I formulate the models EWMA, GARCH, EGARCH, IGARCH, GJRGARCH, jump diffuison with constant volatility and jump diffusion model with stochastic volatility. I also proposed an MCMC algorithm in order to estimate the Bayesian models. All the models we estimated as univariate models. I compared the models according to Mincer Zarnowitz regression. The most successfull model is the jump diffusion model with a stochastic volatility. On the second place they were the GJR- GARCH model and the jump diffusion model with a constant volatility. But the jump diffusion model with a constat volatilit provided much more overvalued results.The rest of the models were even worse. From the rest the IGARCH model is the best but provided undervalued results. All these findings correspond with R squared coefficient.
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Blanc, Pierre. "Effets de rétroaction en finance : applications à l'exécution optimaleet aux modèles de volatilité." Thesis, Paris Est, 2015. http://www.theses.fr/2015PEST1110/document.
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Dans cette thèse, nous considérons deux types d'application des effets de rétroaction en finance. Ces effets entrent en jeu quand des participants de marché exécutent des séquences de transactions ou prennent part à des réactions en chaîne, ce qui engendre des pics d'activité. La première partie présente un modèle d'exécution optimale dynamique en présence d'un flux stochastique et exogène d'ordres de marché. Nous partons du modèle de référence d'Obizheva et Wang, qui définit un cadre d'exécution optimale avec un impact de prix mixte. Nous y ajoutons un flux d'ordres modélisé à l'aide de processus de Hawkes, qui sont des processus à sauts présentant une propriété d'auto-excitation. A l'aide de la théorie du contrôle stochastique, nous déterminons la stratégie optimale de manière analytique. Puis nous déterminons les conditions d'existence de Stratégies de Manipulation de Prix, telles qu'introduites par Huberman et Stanzl. Ces stratégies peuvent être exclues si l'auto-excitation du flux d'ordres se compense exactement avec la résilience du prix. Dans un deuxième temps, nous proposons une méthode de calibration du modèle, que nous appliquons sur des données financières à haute fréquence issues de cours d'actions du CAC40. Sur ces données, nous trouvons que le modèle explique une partie non-négligeable de la variance des prix. Une évaluation de la stratégie optimale en backtest montre que celle-ci est profitable en moyenne, mais que des coûts de transaction réalistes suffisent à empêcher les manipulations de prix. Ensuite, dans la deuxième partie de la thèse, nous nous intéressons à la modélisation de la volatilité intra-journalière. Dans la littérature, la plupart des modèles de volatilité rétroactive se concentrent sur l'échelle de temps journalière, c'est-à-dire aux variations de prix d'un jour sur l'autre. L'objectif est ici d'étendre ce type d'approche à des échelles de temps plus courtes. Nous présentons d'abord un modèle de type ARCH ayant la particularité de prendre en compte séparément les contributions des rendements passés intra-journaliers et nocturnes. Une méthode de calibration de ce modèle est étudiée, ainsi qu'une interprétation qualitative des résultats sur des rendements d'actions américaines et européennes. Dans le chapitre suivant, nous réduisons encore l'échelle de temps considérée. Nous étudions un modèle de volatilité à haute fréquence, dont l'idée est de généraliser le cadre des processus Hawkes pour mieux reproduire certaines caractéristiques empiriques des marchés. Notamment, en introduisant des effets de rétroaction quadratiques inspirés du modèle à temps discret QARCH nous obtenons une distribution en loi puissance pour la volatilité ainsi que de l'asymétrie temporelleIn this thesis we study feedback effects in finance and we focus on two of their applications. These effects stem from the fact that traders split meta-orders sequentially, and also from feedback loops. Therefore, one can observe clusters of activity and periods of relative calm. The first part introduces an dynamic optimal execution framework with an exogenous stochastic flow of market orders. Our starting point is the well-known model of Obizheva and Wang which defines an execution framework with both permanent and transient price impacts. We modify the price model by adding an order flow based on Hawkes processes, which are self-exciting jump processes. The theory of stochastic control allows us to derive the optimal strategy as a closed formula. Also, we discuss the existence of Price Manipulations Strategies in the sense of Huberman and Stanzl which can be excluded from the model if the self-exciting property of the order flow exactly compensates the resilience of the price. The next chapter studies a calibration protocol for the model, which we apply to tick-by-tick data from CAC40 stocks. On this dataset, the model is found to explain a significant part of the variance of prices. We then evaluate the optimal strategy with a series of backtests, which show that it is profitable on average, although realistic transaction costs can prevent manipulation strategies. In the second part of the thesis, we turn to intra-day volatility modeling. Previous works from the volatility feedback literature mainly focus on the daily time scale, i.e. on close-to-close returns. Our goal is to use a similar approach on shorter time scales. We first present an ARCH-type model which accounts for the contributions of past intra-day and overnight returns separately. A calibration method for the model is considered, that we use on US and European stocks, and we provide some qualitative insights on the results. The last chapter of the thesis is dedicated to a high-frequency volatility model. We introduce a continuous-time analogue of the QARCH framework, which is also a generalization of Hawkes processes. This new model reproduces several important stylized facts, in particular it generates a time-asymmetric and fat-tailed volatility process
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Stolbov, Anatoly. "Volatility Smile and Delta Hedging." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-206214.
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The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure. Both models are calibrated to market data observed for EURUSD currency options on January 23, 2015. While SVJ model provided a better fit for the market, especially for mid-term expiry smile curvature, its estimated risk-neutral parameters were unrealistic comparing with their counterparts under statistical measure. Estimations suggest zero long term price volatility and 2 jumps during the year with average magnitude of 6 \%. Both models failed to match curvature of short time to expiry smile and provided a good fit of term-structure and long-expiry smile. Analysing delta ratios adjusted for non-constant volatility as a possible alternatives the study considered minimum variance delta estimated with Heston model, delta ratio recommended by Nassim Taleb and two deltas adjusted for local volatility assuming sticky moneyness and sticky tree dynamics of implied volatility. On data set of EURUSD options from 1.1.2014 to 30.5.2015, our research did not find any alternative which would be more reliable than common Black-Scholes delta.
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Švehla, Pavel. "Analýza volatility akciových indexů na evropských burzách." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-81856.
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This thesis focuses on analysis and comparison of volatility on selected European stock markets. At first paper briefly introduces the reader to the specific features of financial econometrics and the importance of asset returns volatility analysis. Further chapters precisely cover the construction of linear and nonlinear conditional heteroscedasticity models as an appropriate tool for describing the volatility in financial data. The empirical part of the thesis analyze four stock exchange indices from various European regions and seek appropriate models to express volatility behavior in period before the financial crisis in 2008 and also during the crisis phase. Based on selected models, the paper tries to compare the volatility in both periods within the specific stock market index and moreover between different regions. The last section examines asymmetric effects in volatility of stock indices using their graphical representation.
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Rossi, Luca. "Essays on volatility networks and uncertainty." Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/565613.
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This thesis empirically investigates different aspects of time-varying volatility. Chapter 1 estimates a large TVP-FAVAR and recovers a dynamic directed network of connections between European stock volatilities. We propose an ad-hoc estimation methodology that is shown to outperform both standard approaches and competing models. Chapter 2 focuses on tracking dynamic connectedness between US sectoral volatilities using Generalized Forecast Error Variance Decompositions with a Bayesian model. As opposed to estimates obtained with rolling windows, we allow parameters to vary in a more flexible way. We show that there exists a stable relationship between the network structure and the volatility regimes in place at a given time. Chapter 3 estimates the unexpected time-varying volatility component of fiscal budgets in Italy. We show that periods of higher unexpected fiscal volatility are likely to be recessionary. Expansionary policies are effective only when not accompanied by increases in uncertainty.Aquesta tesi investiga empíricament diferents aspectes de la volatilitat variable. El Capítol 1 estima un TVP-FAVAR i recupera una xarxa de connexions dinàmiques entre les volatilitats de accions europees. Proposem una metodologia d’estimació ad-hoc que es demostri que supera els enfocaments estàndard i els models competidors. El Capítol 2 es centra en el seguiment de la connectivitat dinàmica entre les volatilitats sectorials dels Estats Units mitjançant descomposicions generalitzadas de variància d’errors de previsió amb un model Bayesià. A diferència de les estimacions obtingudes amb finestres enrotllables, permetem que els paràmetres variïn de manera més flexible. Mostrem que existeix una relació estable entre l’estructura de la xarxa i els règims de volatilitat vigents en un moment determinat. El Capítol 3 estima el component variable inesperat de la volatilitat dels pressupostos fiscals a Itàlia. Mostrem que els períodes de major volatilitat fiscal inesperada probablement són recessius. Les polítiques expansives només són efectives quan no s’acompanyen d’increments d’incertesa.
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Hanzal, Martin. "Implikovaná volatilita a vyšší momenty rizikově neutrálního rozdělení jako předstihové indikátory realizované volatility." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-358955.
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Implied volatility obtained from market option prices is widely regarded as an efficient predictor of future realised volatility. Implied volatility can be thought of as market's expectation of future realised volatility. We distinguish between volatility-changing events with respect to expectations - scheduled events (such as information releases) and unscheduled events. We propose a method of testing the information content of option-implied risk-neutral moments prior to volatility-changing events. Using the method introduced by Bakshi, Kapadia & Madan (2003) we extract implied volatility, skewness and kurtosis from S&P 500 options market prices and apply the proposed method in four case studies. Two are concerned with scheduled events - United Kingdom European Union membership referendum, 2016 and United States presidential election, 2016, two are concerned with unscheduled events - flash crash of August 24, 2015 and flash crash of October 15, 2014. Implied volatility indicates a rise in future realised volatility prior to both scheduled events. We find a significant rise in implied kurtosis during the last three days prior to the presidential election of 2016. Prior to unscheduled events, we find no evidence of implied moments indicating a rise in future realised volatility.
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Štěrba, Filip. "Ocenění opcí na index PX se stochastickou volatilitou a časově závislou očekávanou bezrizikovou úrokovou sazbou." Doctoral thesis, Vysoká škola ekonomická v Praze, 2004. http://www.nusl.cz/ntk/nusl-76955.
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The main purpose of this thesis is to propose the valuation method of PX index options. PX index consists of blue chip stocks traded on Prague Stock Exchange. There are traded a few futures contracts on PX index on Prague Stock Exchange. However, the options on PX index are traded neither on Prague Stock Exchange nor on the OTC market. It is reasonable to think that it is only question of time when the trading of these options will emerge and thus, it is highly relevant subject of research to propose the method for valuation of these options. The traditional Merton's approach for valuation of equity index options assumes constant volatility and constant risk free rate. This results in serious mispricing which can be easily seen when we compare market prices and Merton formula derived prices. Instead, this thesis releases the assumptions of constant risk free rate and constant volatility. Firstly, it is assumed that that the risk free rate is time dependent function based on current market expectations and secondly it is assumed that the volatility of underlying asset follows NGARCH-mean process. For the purpose of former, the validity of pure expectation theory assumption is made. This enables to employ the instantaneous forward rate curve estimation procedure. For the purpose of the latter, the locally risk-neutral valuation relationship is applied. The assumption of NGARCH-mean process is essential in an effort to capture usually observed patterns of volatility (volatility skews) whereas the assumption of time dependent risk free rate still moves the valuation option model closer to the reality. The author derives the expected path of risk free rate and estimates the parameters of NGARCH process. Subsequently, the empirical martingale Monte Carlo simulation is used to price the PX options with different moneyness and with different times to maturity. It is shown that this proposed model results in volatility pattern which is usually observed on developed markets and the author's results are in line with similar empirical studies testing the GARCH Option Pricing Theory. The author concludes that proposed valuation method superiors original Merton's model and thus is more appropriate for primary valuation of PX options.
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Varga, Lukáš. "Effect of Implied Volatility on FX Carry Trade." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113592.
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This thesis aims to back-test the ability of implied volatility carry trade strategies to outperform the carry trade strategies in the FX markets. Recent research has shown that the profitability of the strategies is partly attributable to the market mispricings of the forward volatility agreements and a tendency of the forward implied volatility to overestimate the future spot implied volatility. This thesis uses a similar approach to construct portfolios containing 10 developed as well as 9 emerging market currencies. Our approach is based on the assumption that Uncovered Interest rate Parity (UIP), Forward Unbiasedness Hypothesis (FUH) and Forward Volatility Unbiasedness Hypothesis (FVUH) do not hold and therefore providing investors with several opportunities to construct trading strategies taking advantage of these market mispricings. In this thesis, we show that the foreign exchange carry trade strategy composed of the specific developed and emerging country's currencies can be outperformed by portfolio consisting of the implied volatility carry trade strategies in the FX market over the analysed period. The portfolios are adjusted to the riskiness which is accounted for by the VIX and VXY-G7 index for developed and VIX and VXY-EM index for emerging economies. The strong performance of the strategies outlined in this thesis can be of significant value to FX traders and portfolio managers.
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Páral, Jiří. "Bitcoins - využití virtuální měny v současné ekonomice DS." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-206974.
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The main goal of this diploma thesis is to explore the area of virtual currency Bitcoin and assess the use of this currency in today's economy. Thesis first mentions the cryptocurrency market, the technology and other altcoins. It further analyzes the cryptocurrency Bitcoin in detail, its foundation, history and mining. The text also explores the volatility of this currency in the recent years, the question of regulation by states and technological threats to the network. In the final chapter diploma thesis examines the possibilities for individuals to obtain this currency and the use of Bitcoin by enterprises.
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PEDIO, MANUELA. "Essays on the Time Series and Cross-Sectional Predictive Power of Network-Based Volatility Spillover Measures." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2021. http://hdl.handle.net/10281/305198.
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• Questa tesi include due saggi che sono dedicati allo studio delle serie temporali e del potere predittivo a livello di cross-section di un indice di spillover di volatilità di nuova concezione basato sulle volatilità implicite delle opzioni. Nel primo saggio, ci concentriamo sulla stima dell'indice e sulla valutazione se i (cambiamenti nell'indice) possono prevedere i rendimenti in eccesso delle serie temporali di (un insieme di) singoli titoli e dello S&P 500. Si confronta il potere predittivo in-sample e out-of-sample di questo indice con quello dell'indice di spillover di volatilità proposto da Diebold e Yilmaz (2008, 2012), che si basa invece su volatilità realizzate. Sebbene entrambe le misure mostrino la prova del potere predittivo all'interno del campione, solo la misura basata sulla volatilità implicita è in grado di produrre previsioni out-of-sample che battono un semplice benchmark costituito dalla media storica. Troviamo che questo potere predittivo possa essere sfruttato da un investitore utilizzando semplici strategie di trading basate sul segno dell'eccesso di rendimento previsto e da un investitore media-varianza. Mostriamo anche che, nonostante la sovra-performance predittiva dell'indice di spillover della volatilità implicita provenga principalmente da periodi di alta volatilità, il potere previsionale aggiuntivo non è sussunto dall'inclusione del VIX (come proxy della volatilità aggregata) nelle regressioni predittive.
Nel secondo saggio, indaghiamo se il rischio di spillover della volatilità (oltre al rischio di volatilità aggregata) sia valutato nella cross-section dei rendimenti delle azioni statunitensi. Per il nostro scopo, conduciamo diversi test di asset pricing (parametrici e non parametrici). In primo luogo, ordiniamo l'universo azionario in cinque portafogli quintili in base alla loro esposizione all'indice di spillover di volatilità implicita che abbiamo sviluppato nel primo saggio. In secondo luogo, utilizziamo una procedura di ordinamento condizionale per controllare le variabili che possono avere un effetto di confusione sui nostri risultati. Troviamo che i titoli con una bassa esposizione agli spillover di volatilità guadagnano in media il 6,45% all'anno in più rispetto ai titoli con un'elevata esposizione agli spillover di volatilità. Questa differenza persiste anche dopo l'aggiustamento per il rischio e quando controlliamo l'esposizione a shock di volatilità aggregata. Infine, utilizziamo un approccio Fama-Mac Beth per stimare il premio per il rischio associato al rischio di ricaduta della volatilità; questa procedura conferma in parte i risultati dell'analisi non parametrica di portfolio, sebbene il premio sia inferiore e generalmente stimato in modo impreciso.This thesis includes two essays that are devoted to study the time-series and cross-sectional predictive power of a newly developed, forward-looking volatility spillover index based on option implied volatilities. In the first essay, we focus on the estimation of the index and on the assessment of whether the (changes in) the index can predict the time-series excess returns of (a set of) individual stocks and of the S&P 500. We also compare the in-sample and out-of-sample predictive power of this index with that of the volatility spillover index proposed by Diebold and Yilmaz (2008, 2012), which is instead based on realized, backward-looking volatilities. While both measures show evidence of in-sample predictive power, only the option-implied measure is able to produce out-of-sample forecasts that outperform a simple historical mean benchmark. We find this predictive power to be exploitable by an investor using simple trading strategies based on the sign of the predicted excess return and also by a mean-variance optimizer. We also show that, despite the predictive outperformance of the implied volatility spillover index is mostly coming from high-volatility periods, the additional forecast power is not subsumed by the inclusion of the VIX (as a proxy of aggregate volatility) in the predictive regressions. In the second essay, we investigate whether volatility spillover risk (in addition to aggregate volatility risk) is priced in the cross-section of US stock returns. To our purpose, we conduct several (parametric and non-parametric) asset pricing tests. First, we sort the stock universe into five quintile portfolios based on their exposure to the implied volatility spillover index that we have developed in the first essay. Second, we use a conditional sorting procedure to control for variables that may have a confounding effect on our results. We find that stocks with a low exposure to volatility spillovers earn an average 6.45% per annum more than stocks with a high exposure to volatility spillovers. This difference persists also after adjusting for risk and when we control for the exposure to aggregate volatility shocks. Finally, we employ a Fama-Mac Beth approach to estimate the risk premium associated with volatility spillover risk; this procedure partly confirms the results from the non-parametric, portfolio sorting analysis, although the premium is lower and generally imprecisely estimated.
Books on the topic "Volatilit"
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McMillan, L. G. (Lawrence G.) and Lehman Richard 1948=, eds. Options in volatile markets: Managing volatility and protecting against catastrophic risk. 2nd ed. Hoboken, NJ: John Wiley and Sons, 2011.
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Schwartz, Robert A., John Aidan Byrne, and Antoinette Colaninno, eds. Volatility. Boston, MA: Springer US, 2011. http://dx.doi.org/10.1007/978-1-4419-1474-3.
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Wen, Yi. Durable good inventories and the volatility of production: Explaining the less volatile U.S. economy. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2005.
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Takahashi, Makoto, Yasuhiro Omori, and Toshiaki Watanabe. Stochastic Volatility and Realized Stochastic Volatility Models. Singapore: Springer Nature Singapore, 2023. http://dx.doi.org/10.1007/978-981-99-0935-3.
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Sinclair, Euan. Volatility Trading. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118662724.
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Shiller, Robert J. Market volatility. Cambridge, Mass: MIT Press, 1989.
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Sinclair, Euan. Volatility Trading. New York: John Wiley & Sons, Ltd., 2008.
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G, Andersen Torben, and National Bureau of Economic Research., eds. Volatility forecasting. Cambridge, Mass: National Bureau of Economic Research, 2005.
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1959-, Albalak Ramon J., ed. Polymer devolatilization. New York: M. Dekker, 1996.
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Gatheral, Jim. The Volatility Surface. New York: John Wiley & Sons, Ltd., 2006.
Find full textBook chapters on the topic "Volatilit"
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Díaz-Bonilla, Eugenio. "Volatile Volatility: Conceptual and Measurement Issues Related to Price Trends and Volatility." In Food Price Volatility and Its Implications for Food Security and Policy, 35–57. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-28201-5_2.
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Sarkar, Asani, Robert Almgren, Albert J. Menkveld, and Liuren Wu. "Intraday Volatility: The Empirical Evidence." In Volatility, 1–18. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_1.
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Francioni, Reto. "Opening Address: Reto Francioni." In Volatility, 19–28. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_2.
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Engle, Robert. "What Is Happening With Financial Market Volatility and Why?" In Volatility, 29–45. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_3.
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Tabb, Larry, Ian Domowitz, William Geyer, Ken Hight, Henri Waelbroeck, and Joseph Wald. "Volatility and Technology." In Volatility, 47–64. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_4.
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Martell, Terrence, George Bodine, Brendan Doran, Brian Hyndman, Tim Mahoney, and Jim Ross. "Volatility and Market Structure." In Volatility, 65–83. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_5.
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Bradley, Harold, Matt Moran, Richard Rosenblatt, Keith Ross, and Robert Shapiro. "Implications for Trading." In Volatility, 85–98. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_6.
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Greifeld, Robert, and Erin Burnett. "Closing Dialog: Sandy Frucher and Erin Burnett." In Volatility, 99–110. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_7.
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Ozenbas, Deniz, Michael S. Pagano, and Robert A. Schwartz. "Accentuated Intraday Stock Price Volatility." In Volatility, 111–26. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_8.
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Fiorenza, Shieryn, Liliana Inggrit Wijaya, and Bertha Silvia Sutejo. "The Effect of Dividend Policy, Profitability, and Leverage on Share Price Volatility of Service Sector Enterprise Indexed on the Indonesia Stock Exchange During 2015–2019." In Proceedings of the 19th International Symposium on Management (INSYMA 2022), 126–33. Dordrecht: Atlantis Press International BV, 2022. http://dx.doi.org/10.2991/978-94-6463-008-4_17.
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AbstractThis research analyzes the effect of dividend payout ratio, dividend yield, earnings volatility, and debt-to-equity ratio on share price volatility in service sector enterprise indexed on the Indonesia Stock Exchange during the 2015–2019 period. This study used a quantitative approach with multiple linear regression. The findings of this study indicate that observations on the Indonesia Stock Exchange show that the dividend payout ratio has a compelling positive effect on share price volatility. This is because the higher the dividend yield, or the more enterprise pay dividends each year, the more volatile the stock price will be because the demand for the company’s shares increases [1]. However, the dividend yield has no compelling adverse effect on share price volatility because investors prefer capital gains over dividends. After all, the tax imposed on dividends is higher. Then earnings volatility has a compelling positive effect. This is because, traditionally, profit has been used as an indicator to measure a company’s financial performance [2]. Enterprise with consistent earnings are less likely to surprise investors with unexpected earnings announcements. The debt-to-equity ratio has a marginally favorable impact on stock price volatility. This is because, according to the trade-off hypothesis, the company’s decision to employ debt can be viewed as a way to avoid tax on loan interest payments and financial distress expenses produced by the growth of company debt.
Conference papers on the topic "Volatilit"
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Syarifuddin, Ferry. "The Exchange Rate Volatility in Indonesia and Policy Response." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00886.
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High fluctuation of exchange rate in short horizon is obviously making economic activity more risky as uncertainty rises. Moreover, volatile exchange rates also make commodity prices, interest rates and a host of other variables more volatile as well. Although changes in long-run exchange rates tend to undergo relatively gradual shifts, in the shorter horizon, the exchange rate might be very volatile. Then there should be a systematic and measured policy to mitigate the foreign exchange fluctuations and to minimize the fluctuations as well as to drive it to its fundamental value. In this part, USD/IDR volatility is investigated using GARCH approach. The results reveal that, USD/IDR volatility in Indonesia is persistent. On the other hand, the following studies also present the outcomes of effectiveness of policy response by the Central Bank. Foreign-exchange sale interventions by the Central Bank lead conditional volatility of the USD/IDR to decrease slightly.
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Yasuike, Y., S. Iwasa, K. Suzuki, H. Kobayashi, O. Amano, and Nobuaki Sato. "Recycle of Zr Metal From Hull Wastes by Treatment of Chlorination and Metalization." In ASME 2003 9th International Conference on Radioactive Waste Management and Environmental Remediation. ASMEDC, 2003. http://dx.doi.org/10.1115/icem2003-4626.
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This research evaluated the applicability of chlorination reaction treatment as processing technology to recover Zr metal which becomes reusable resources from radioactive Zr metal wastes. The typical waste generates from reprocessing facilities, and the main component of waste is a zirconium alloy containing 90–95% of Zr. At first, the volatility of ZrCl4 produced by the chlorination reaction of Zircaloy-2 was theoretically calculated with thermodynamic simulation code. The estimation showed that Zr could be effectively separated and recovered from this alloy by the difference of volatility in each element chloride. The chlorination reaction of metal proceeds as an exothermic reaction and the control of the reaction temperature is an important condition in order to perform optimal Zr separation recovery. The chlorination reaction of Zircaloy-2 was carried out in the low-temperature ranges of 220°C–320°C, and Zr separation performance was experimentally obtained. Zr and Sn (1.5wt% content in Zircaloy-2) volatilize 100% as chlorides at 270°C or higher temperature. The amounts of volatilization of Cr and Ni are 5% and 0.1% or less, respectively. Such volatile ability is well in agreement with the result of thermodynamic calculation quantitatively. The volatile behavior of Fe (0.2wt% or less content) in Zircaloy-2 is influenced by the product of FeCl2 which is due to the heat decomposition of FeCl3 with larger volatility, and the experimental volatility is smaller than the theoretical one. 60Co produced in the radioactivated Co by neutron radiation is a highest radioactivity source in the hull waste and it should be completely separated and removed from the recovered Zr chloride. In this study, the metal powder of Co was used to measure the volatility, because the content of Co in Zircaloy-2 is very small quantity (20 ppm or less), The obtained volatility was a hundredth of the volatility of thermodynamics calculation. U and Cs also intermingle in the hull wastes by the solid solution or the adhesion of uranium fuel. The volatility of Cs and U in the chlorination reaction at 270°C was measured by using CsCl, and UO2 in the coexistence of Zircaloy-2. The volatility of UO2 and CsCl was 4times and thousand times higher than that without the alloy, respectively. The exothermic reaction in the chlorination of metal was inferred. However, the volatility did not influence the effective ability of decontamination for the recovered Zr chloride. In order to recover the high-level decontaminated Zr chloride from radioactive nuclides, it is necessary to efficiently remove radioactive nuclides, which are the sources of high radioactivity due to 60Co, 63Ni and 137Cs. It was evaluated that a chemical addition treatment in which the amounts of radioactive nuclides relatively decreases by the amounts of radioactive nuclides relatively decreases by the amount of added stable isotopes of chemical compound was a effective treatment, on basis of the calculation of volatility of each element. The addition treatment of chemical compound performs in the distillation of Zr chloride obtained by the chlorination of hull waste. This study showed that a basic process of the high-level decontaminated Zr recovery consists of the two-step process of both chlorination reaction of the hull waste and distillation treatment of Zr chloride in addition of chemical compound.
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Tonovska, Jasna, and Predrag Trpeski. "Capital Flows Volatility and the Macroeconomic Performance – Evidence from Emerging and Developing Economies." In 6th International Scientific Conference – EMAN 2022 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/eman.s.p.2022.13.
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Volatile capital flows pose serious risks to economic growth and financial stability. This paper investigates the link between economic performance and gross capital flows volatility in emerging market and developing economies (EMDE), and specifically, the extent to which macroprudential policy measures can diminish the detrimental effects of capital flows volatility on growth. For that purpose, we start by constructing volatility estimates for gross capital flows and their subcomponents on a sample of 37 EMDEs, following the methodology by Wang (2019). Then we perform panel regression over the period 2000-2018 incorporating the main variables of interest: economic growth, gross capital inflows volatility and macroprudential policy. The results show that the negative effect of gross capital inflows volatility on growth is significantly mitigated by the implementation of macroprudential policy measures. The results are robust against reverse causality and omitted variables bias.
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Algan, Neşe, Erhan İşcan, Duygu Serin Oktay, and Duygu Kara. "Impact of Energy Price Volatility on Macroeconomic Performance." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01892.
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Last two decades witnessed increasingly volatile international markets with the many financial crises. Concurrently, volatility in energy prices and energy markets cause various adverse impacts on both national and world economies. Especially this volatility affected emerging markets and increased the fragility of the emerging economies. Because of the adverse impacts of this volatility, understanding the price behavior and impact of volatility of energy prices on economy became crucial for every economic agent in the economy including policy makers in the governments, consumers, and producers. The relationship between energy prices and macroeconomic performance has been studied widely as a consequence its long term macroeconomic impacts to world economies. Differently, the aim of this study is analyzing the effect of energy price volatility on macroeconomic indicators of Turkey. For that purpose, we employed a GARCH model to investigate effect of energy price volatility on macroeconomic performance for Turkey from 2002 to 2016. We use various energy prices and macroeconomic indicators data for the period from January 2002 to December 2016, obtained from the IFS and CBRT-EDDS. By applying GARCH methodology to various energy prices and macroeconomic indicators, we contribute to the understanding of price volatility in energy markets, and suggest policies that would be of use to policy makers in the governments, consumers, and producers.
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Staugaitis, Algirdas Justinas. "Financial speculation impact on agricultural commodity price volatility: TGARCH approach." In 21st International Scientific Conference "Economic Science for Rural Development 2020". Latvia University of Life Sciences and Technologies. Faculty of Economics and Social Development, 2020. http://dx.doi.org/10.22616/esrd.2020.53.014.
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Motivated by agricultural commodity price fluctuations and spikes in the last decade, we investigate whether financial speculation destabilizes the price of agricultural commodities. The aim of this research is to assess the impact of financial speculation on agricultural commodity price volatility. In our study we use weekly returns on wheat, soybean and corn futures from Chicago Mercantile of Exchange. To measure this impact, we apply autoregressive conditional heteroskedasticity (ARCH) technique. We also propose a model with seasonal dummy variables to measure if financial speculation impact on price volatility differs among seasons. The results of our research indicate that financial speculation as an exogenous factor has either no effect or reduces the volatility of the underlying futures prices. Therefore, we conclude that the increase of non-commercial market participants does not make the agricultural commodity prices more volatile or this link is at least questionable.
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Gantenbein, Pascal, and Andreas Rehrauer. "Volatility as an Asset Class: A Valuable Portfolio Diversifier in Volatile Times?" In 3rd Annual International Conference on Qualitative and Quantitative Economics Research (QQE 2013). Global Science and Technology Forum Pte Ltd, 2013. http://dx.doi.org/10.5176/2251-2012_qqe13.32.
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Karagöz, Kadir. "Volatility in Tourist Inflows: Evidence from Turkey." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00601.
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Tourism sector, like most of the other countries of the world, has also gained importance in Turkey in last few decades. Global tourist flows and tourism income have a steady increase. Hence, as an effective tool for sustainable economic development and welfare, importance of tourism sector is rising. Tourism is a considerable source of an additional income, exchange, employment and tax revenue for most countries. Turkey is one of the prominent tourism destinations for the world tourist flows. Turkish tourism industry began to grow in 1980s with the incentive macroeconomic policies. The industry has been growing in terms of international tourist arrivals and tourism receipts despite some discouraging events, such as economics crisis in the source countries, changing concerns, political incidents etc. For a sustainably growing and productive tourism sector it is essential to reduce the volatility in tourist arrivals. A less volatile tourist inflow may help to policy and decision makers. So, understanding the volatility of demand can reduce the uncertainty and help to develop appropriate policies. This paper aims to conduct such an analysis for Turkey’s inbound tourist flow, using the monthly data for 1996-2011 period. Exploiting alternative modeling techniques to measure and investigate the volatility in international tourist arrivals, the study concluded that the volatility of tourist arrivals to Turkey is asymmetric: positive shocks have a differential impact on future volatility than negative shocks.
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Narain, Narendra, Anderson Santos Fontes, Maria Terezinha Santos Leite-Neta, Patricia Nogueira Matos, Hannah Caroline Santos Araújo, Monica Silva Jesus, and G. Rajkumar. "Aroma retention during drying of caja-umbu fruit pulp." In 21st International Drying Symposium. Valencia: Universitat Politècnica València, 2018. http://dx.doi.org/10.4995/ids2018.2018.7811.
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This study was aimed to obtain and characterize the dried powder of cajá-umbu (Spondias spp) fruit pulp obtained by spray-drying and lyophilization. Spray-drying of the pulp was done at different temperatures. Analysis of bioactive compounds and volatile compounds was performed. The total phenolic compounds content was high in the dried powder obtained at the temperature of 140 °C. The volatiles analysis of dried powders revealed that the powder dried at 140°C contained a larger number of compounds. The cajá-umbu powder showed that it is a better alternative for storage and conservation since it retained the majority of volatile compounds. Keywords: Cajá-umbu, volatile compounds, gas chromatography, mass spectrometry.
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Gibson, Everett K., and Roberta Bustin. "Volatiles in interplanetary dust particles: A comparison with volatile-rich meteorites." In Analysis of interplanetary dust: NASA/LPI workshop. AIP, 1994. http://dx.doi.org/10.1063/1.46533.
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Ren, Jie, Kai Wu, and Dong Li. "Exploring Non-Volatility of Non-Volatile Memory for High Performance Computing Under Failures." In 2020 IEEE International Conference on Cluster Computing (CLUSTER). IEEE, 2020. http://dx.doi.org/10.1109/cluster49012.2020.00034.
Full textReports on the topic "Volatilit"
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Perry, Guillermo, and Sebastián Bustos. The Effects of Oil and Mineral Taxation on Non-commodity Fiscal Revenues. Inter-American Development Bank, September 2012. http://dx.doi.org/10.18235/0011408.
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This paper shows, first, that non-commodity revenues are more volatile in oil- and mineral-rich countries and that quality of institutions is associated with lower volatility. We investigate the channels through which oil and mineral revenue volatility lead to non-commodity revenues volatility, and find that when oil and fiscal revenues increase (decrease), non-commodity revenues are reduced (increased) discretionally, and that this substitution effect is larger and faster than an indirect positive income effect through increased public expenditures and GDP. Latin American oil- and mineral-rich countries appear, though, to behave differently. In particular, most of them show increased non-commodity revenues pari passu with increased oil and mineral revenues during the last decade. These findings have consequences for the overall volatility of public expenditures and the effectiveness of automatic tax stabilizers in oil- and mineral-rich countries.
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Gavin, Michael. A Decade of Reform in Latin America: Has it Delivered Lower Volatility? Inter-American Development Bank, January 1997. http://dx.doi.org/10.18235/0011597.
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Have the economies of Latin America become less volatile as a result of the economic stabilization and structural reforms implemented during the past decade? The answer is a qualified yes. The reforms have helped, but more needs to be done to ensure the macroeconomic stability required for accelerated and more equitable long-run growth in the region. Structural reforms have helped reduce volatility, but volatility remains high by international standards and has not declined in all countries. The paper offers a policy agenda, raising questions for discussion in four key areas: (i) How can fiscal management be made more stabilizing? (ii) How can management of domestic financial markets contribute to lower economic volatility? (iii) How should capital flows be managed? (iv) What is the role of the exchange rate regime?
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Micco, Alejandro, Alberto E. Chong, Ugo Panizza, and Alejandro Izquierdo. Corporate Governance and Private Capital Flows to Latin America. Inter-American Development Bank, February 2003. http://dx.doi.org/10.18235/0010810.
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According to recent research, external factors and political governance considerations are key determinants of capital flows in Latin America. We postulate that corporate governance is a crucial determinant as well. We show that while the region is characterized by relatively low levels of corporate governance it shows highly volatile capital flows. The high level of economic volatility that characterizes the region is partly due to the behavior of capital flows which, in turn, are influenced by external factors. The paper shows that by implementing better corporate governance the region could reduce the sensitivity of capital flows to external shocks and hence reduce the volatility of its economy.
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Wen, Yi. Durable Good Inventories and the Volatility of Production: Explaining the Less Volatile U.S. Economy. Federal Reserve Bank of St. Louis, 2005. http://dx.doi.org/10.20955/wp.2005.047.
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Wood, William F., David L. Largent, and Darvin A. DeShazer. The cooked shellfish-odour of the mushroom Russula xerampelina. Verlag der Österreichischen Akademie der Wissenschaften, January 2024. http://dx.doi.org/10.1553/biosystecol.3.e115244.
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The “shrimp mushroom”, Russula xerampelina, has a strong cooked shellfish odour. Headspace volatiles from fresh sporocarps of this mushroom were analysed using solid phase microextraction (SPME) and gas chromatography–mass spectrometry (GC–MS). Trimethylamine and trimethylamine N-oxide were the only volatile compounds detected emanating from the fruiting body. Trime- thylamine is noted for its fishy, cooked crab or cooked shrimp-like odour.
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Heresi, Rodrigo. From Macroeconomic Stability to Welfare: Optimizing Fiscal Rules in Commodity-Dependent Economies. Inter-American Development Bank, October 2023. http://dx.doi.org/10.18235/0005197.
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I study the welfare and macroeconomic implications of simple and implementable fiscal policy rules in commodity-dependent economies, where a large share of output, exports, and government revenues depend on exogenous and volatile commodity prices. Using a multisector New Keynesian model estimated for the Chilean economy, we find that the welfare-maximizing fiscal policy involves an actively countercyclical response to the tax revenue cycle and a mildly procyclical response to the commodity revenue cycle. Compared to a benchmark acyclical policy, the optimized rule minimizes GDP growth volatility while delivering welfare gains of 0.6% of lifetime consumption to non-Ricardian (financially constrained) households. Government consumption and especially public investment are particularly helpful in stabilizing GDP, while targeted social transfers are essential to smooth the consumption of financially constrained households. Implementing the optimized rule requires moderate additional volatility (fiscal activism) in government spending and public debt.
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Diebold, Francis, and Kamil Yilmaz. Macroeconomic Volatility and Stock Market Volatility, Worldwide. Cambridge, MA: National Bureau of Economic Research, August 2008. http://dx.doi.org/10.3386/w14269.
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Andersen, Torben, Tim Bollerslev, Peter Christoffersen, and Francis Diebold. Volatility Forecasting. Cambridge, MA: National Bureau of Economic Research, March 2005. http://dx.doi.org/10.3386/w11188.
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Hausmann, Ricardo, Michael Gavin, Ernesto H. Stein, and Carmen Pagés. Financial Turmoil and the Choice of Exchange Rate Regime. Inter-American Development Bank, January 1999. http://dx.doi.org/10.18235/0010731.
Full textAbstract:
Financial turmoil is becoming a fact of life in Latin America. The 1990s have been characterized by enormous volatility in the magnitude and cost of capital flows. The correlation of capital swings across disparate countries suggests that the quality of emerging market policies in addition to global factors have been the main actors in this drama. Therefore, the blame for financial turmoil has moved away from inappropriate domestic policies. Instead, the paradigm has shifted to one of determining which policies - domestic or international - are most effective in taming the destabilizing effects of inherently volatile capital flows.
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Simon, James E., Uri M. Peiper, Gaines Miles, A. Hetzroni, Amos Mizrach, and Denys J. Charles. Electronic Sensing of Fruit Ripeness Based on Volatile Gas Emissions. United States Department of Agriculture, October 1994. http://dx.doi.org/10.32747/1994.7568762.bard.
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An electronic sensory system for the evaluation of headspace volatiles was developed to determine fruit ripeness and quality. Two prototype systems were designed, constructed, and later modified. The first is an improved version of our original prototype electronic sniffer using a single head sensing unit for use as a single or paired unit placed on an individual fruit surface for applications in the field, lab, or industry. The second electronic sniffer utilizes a matrix of gas sensors, each selected for differential sensitivity to a range of volatile compounds. This system is more sophisticated as it uses multiple gas sensors, but was found to enhance the ability of the sniffer to classify fruit ripeness and quality relative to a single gas sensor. This second sniffer was designed and constructed for the sampling of fresh-cut or whole packs of fruits such as packaged strawberries and blueberries, and can serve as a prototype for research or commercial applications. Results demonstrate that electronic sensing of fruit ripeness based on aromatic volatile gas emissions can be used successfully with fresh frits. Aroma sensing was successful for classifying ripeness in muskmelons, including different cultivars, apples, blueberries, strawberries, and in a complimentary BARD project on tomatoes. This system compared favorably to the physicochemical measurements traditionally employed to assess fruit maturity. This nondestructive sensory system can detect the presence of physically damaged fruits and shows excellent application for use in quality assessment. Electronic sensors of the tin oxide type were evaluated for specificity toward a wide range of volatiles associated with fruit ripeness. Sensors were identified that detected a broad range of alcohols, aldehydes, esters, hydrocarbons, and volatile sulfur compounds, as well as individual volatiles associated with fruit ripening across a wide concentration range. Sensors are not compound specific, thus, the matrix of sensors coupled with discrimination analysis provides a fingerprint to identify the presence of compounds and to assess alterations in fresh products due to alterations in volatile emissions. Engineering developments led to the development of a system to compensate for temperature and relative humidity relative to on-line aroma sensing with melons for ripeness determination and to reduce response time, thus permitting the electronic sniffer to be used for monitoring both fresh and processed food products. The sniffer provides a fast, reliable and nondestructive tool to assess fruit ripeness and quality. We hope that our work will foster the introduction and utilization of this emerging technology into the agricultural and horticultural