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Artykuły w czasopismach na temat "Volatilit"
Keber, Christian. "Genetisch ermittelte Approximationen zur Bestimmung der impliziten Volatilit�t". OR Spectrum 21, nr 1-2 (1.02.1999): 205–38. http://dx.doi.org/10.1007/s002910050087.
Pełny tekst źródłaSholihah, Fathimah, i Nunung Kusnadi. "Dampak Pengembangan Biofuels terhadap Volatilitas Harga Beberapa Komoditas Pangan di Pasar Dunia". Jurnal Agro Ekonomi 37, nr 2 (20.04.2020): 157. http://dx.doi.org/10.21082/jae.v37n2.2019.157-170.
Pełny tekst źródłaCarolina, Ratna Anita, Sri Mulatsih i Lukytawati Anggraeni. "Analisis Volatilitas Harga dan Integrasi Pasar Kedelai Indonesia dengan Pasar Kedelai Dunia". Jurnal Agro Ekonomi 34, nr 1 (1.05.2016): 47. http://dx.doi.org/10.21082/jae.v34n1.2016.47-66.
Pełny tekst źródłaKays, Stanley J. "NON-ETHYLENE BIOLOGICALLY ACTIVE POSTHARVEST VOLATILES". HortScience 25, nr 9 (wrzesień 1990): 1180f—1180. http://dx.doi.org/10.21273/hortsci.25.9.1180f.
Pełny tekst źródłaEsteve-Redondo, Patricia, Raquel Heras-Mozos, Ernest Simó-Ramírez, Gracia López-Carballo, Carol López-de-Dicastillo, Rafael Gavara i 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, nr 6 (11.03.2024): 856. http://dx.doi.org/10.3390/foods13060856.
Pełny tekst źródłaNugrahapsari, Rizka Amalia, i Idha Widi Arsanti. "Analisis Volatilitas Harga Cabai Keriting di Indonesia dengan Pendekatan ARCH GARCH". Jurnal Agro Ekonomi 36, nr 1 (18.09.2018): 25. http://dx.doi.org/10.21082/jae.v36n1.2018.25-37.
Pełny tekst źródłaXie, Zhisheng, Qundi Liu, Zhikun Liang, Mingqian Zhao, Xiaoxue Yu, Depo Yang i 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.
Pełny tekst źródłaDinga, Bruno, Jimbo Henry Claver, Kum Kwa Cletus i 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, nr 2 (3.08.2023): 155–78. http://dx.doi.org/10.4314/jcas.v19i2.6.
Pełny tekst źródłaTian, Zhen, Tomáš Magna, James M. D. Day, Klaus Mezger, Erik E. Scherer, Katharina Lodders, Remco C. Hin, Piers Koefoed, Hannah Bloom i Kun Wang. "Potassium isotope composition of Mars reveals a mechanism of planetary volatile retention". Proceedings of the National Academy of Sciences 118, nr 39 (20.09.2021): e2101155118. http://dx.doi.org/10.1073/pnas.2101155118.
Pełny tekst źródłaAlberola, Ricardo. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market". Lecturas de Economía, nr 66 (23.10.2009): 251–76. http://dx.doi.org/10.17533/udea.le.n66a2607.
Pełny tekst źródłaRozprawy doktorskie na temat "Volatilit"
Hrbek, Filip. "Metody předvídání volatility". Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264689.
Pełny tekst źródłaBlanc, 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.
Pełny tekst źródłaIn 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
Stolbov, Anatoly. "Volatility Smile and Delta Hedging". Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-206214.
Pełny tekst źródłaŠvehla, Pavel. "Analýza volatility akciových indexů na evropských burzách". Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-81856.
Pełny tekst źródłaRossi, Luca. "Essays on volatility networks and uncertainty". Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/565613.
Pełny tekst źródłaAquesta 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.
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.
Pełny tekst źródłaŠtěrba, 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.
Pełny tekst źródłaVarga, 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.
Pełny tekst źródłaPáral, 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.
Pełny tekst źródłaPEDIO, 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.
Pełny tekst źródłaThis 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.
Książki na temat "Volatilit"
McMillan, L. G. (Lawrence G.) i Lehman Richard 1948=, red. Options in volatile markets: Managing volatility and protecting against catastrophic risk. Wyd. 2. Hoboken, NJ: John Wiley and Sons, 2011.
Znajdź pełny tekst źródłaSchwartz, Robert A., John Aidan Byrne i Antoinette Colaninno, red. Volatility. Boston, MA: Springer US, 2011. http://dx.doi.org/10.1007/978-1-4419-1474-3.
Pełny tekst źródłaWen, 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.
Znajdź pełny tekst źródłaTakahashi, Makoto, Yasuhiro Omori i 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.
Pełny tekst źródłaSinclair, Euan. Volatility Trading. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118662724.
Pełny tekst źródłaShiller, Robert J. Market volatility. Cambridge, Mass: MIT Press, 1989.
Znajdź pełny tekst źródłaSinclair, Euan. Volatility Trading. New York: John Wiley & Sons, Ltd., 2008.
Znajdź pełny tekst źródłaG, Andersen Torben, i National Bureau of Economic Research., red. Volatility forecasting. Cambridge, Mass: National Bureau of Economic Research, 2005.
Znajdź pełny tekst źródła1959-, Albalak Ramon J., red. Polymer devolatilization. New York: M. Dekker, 1996.
Znajdź pełny tekst źródłaGatheral, Jim. The Volatility Surface. New York: John Wiley & Sons, Ltd., 2006.
Znajdź pełny tekst źródłaCzęści książek na temat "Volatilit"
Díaz-Bonilla, Eugenio. "Volatile Volatility: Conceptual and Measurement Issues Related to Price Trends and Volatility". W 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.
Pełny tekst źródłaSarkar, Asani, Robert Almgren, Albert J. Menkveld i Liuren Wu. "Intraday Volatility: The Empirical Evidence". W Volatility, 1–18. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_1.
Pełny tekst źródłaFrancioni, Reto. "Opening Address: Reto Francioni". W Volatility, 19–28. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_2.
Pełny tekst źródłaEngle, Robert. "What Is Happening With Financial Market Volatility and Why?" W Volatility, 29–45. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_3.
Pełny tekst źródłaTabb, Larry, Ian Domowitz, William Geyer, Ken Hight, Henri Waelbroeck i Joseph Wald. "Volatility and Technology". W Volatility, 47–64. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_4.
Pełny tekst źródłaMartell, Terrence, George Bodine, Brendan Doran, Brian Hyndman, Tim Mahoney i Jim Ross. "Volatility and Market Structure". W Volatility, 65–83. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_5.
Pełny tekst źródłaBradley, Harold, Matt Moran, Richard Rosenblatt, Keith Ross i Robert Shapiro. "Implications for Trading". W Volatility, 85–98. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_6.
Pełny tekst źródłaGreifeld, Robert, i Erin Burnett. "Closing Dialog: Sandy Frucher and Erin Burnett". W Volatility, 99–110. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_7.
Pełny tekst źródłaOzenbas, Deniz, Michael S. Pagano i Robert A. Schwartz. "Accentuated Intraday Stock Price Volatility". W Volatility, 111–26. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-1474-3_8.
Pełny tekst źródłaFiorenza, Shieryn, Liliana Inggrit Wijaya i 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". W 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.
Pełny tekst źródłaStreszczenia konferencji na temat "Volatilit"
Syarifuddin, Ferry. "The Exchange Rate Volatility in Indonesia and Policy Response". W International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00886.
Pełny tekst źródłaYasuike, Y., S. Iwasa, K. Suzuki, H. Kobayashi, O. Amano i Nobuaki Sato. "Recycle of Zr Metal From Hull Wastes by Treatment of Chlorination and Metalization". W ASME 2003 9th International Conference on Radioactive Waste Management and Environmental Remediation. ASMEDC, 2003. http://dx.doi.org/10.1115/icem2003-4626.
Pełny tekst źródłaTonovska, Jasna, i Predrag Trpeski. "Capital Flows Volatility and the Macroeconomic Performance – Evidence from Emerging and Developing Economies". W 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.
Pełny tekst źródłaAlgan, Neşe, Erhan İşcan, Duygu Serin Oktay i Duygu Kara. "Impact of Energy Price Volatility on Macroeconomic Performance". W International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01892.
Pełny tekst źródłaStaugaitis, Algirdas Justinas. "Financial speculation impact on agricultural commodity price volatility: TGARCH approach". W 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.
Pełny tekst źródłaGantenbein, Pascal, i Andreas Rehrauer. "Volatility as an Asset Class: A Valuable Portfolio Diversifier in Volatile Times?" W 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.
Pełny tekst źródłaKaragöz, Kadir. "Volatility in Tourist Inflows: Evidence from Turkey". W International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00601.
Pełny tekst źródłaNarain, Narendra, Anderson Santos Fontes, Maria Terezinha Santos Leite-Neta, Patricia Nogueira Matos, Hannah Caroline Santos Araújo, Monica Silva Jesus i G. Rajkumar. "Aroma retention during drying of caja-umbu fruit pulp". W 21st International Drying Symposium. Valencia: Universitat Politècnica València, 2018. http://dx.doi.org/10.4995/ids2018.2018.7811.
Pełny tekst źródłaGibson, Everett K., i Roberta Bustin. "Volatiles in interplanetary dust particles: A comparison with volatile-rich meteorites". W Analysis of interplanetary dust: NASA/LPI workshop. AIP, 1994. http://dx.doi.org/10.1063/1.46533.
Pełny tekst źródłaRen, Jie, Kai Wu i Dong Li. "Exploring Non-Volatility of Non-Volatile Memory for High Performance Computing Under Failures". W 2020 IEEE International Conference on Cluster Computing (CLUSTER). IEEE, 2020. http://dx.doi.org/10.1109/cluster49012.2020.00034.
Pełny tekst źródłaRaporty organizacyjne na temat "Volatilit"
Perry, Guillermo, i Sebastián Bustos. The Effects of Oil and Mineral Taxation on Non-commodity Fiscal Revenues. Inter-American Development Bank, wrzesień 2012. http://dx.doi.org/10.18235/0011408.
Pełny tekst źródłaGavin, Michael. A Decade of Reform in Latin America: Has it Delivered Lower Volatility? Inter-American Development Bank, styczeń 1997. http://dx.doi.org/10.18235/0011597.
Pełny tekst źródłaMicco, Alejandro, Alberto E. Chong, Ugo Panizza i Alejandro Izquierdo. Corporate Governance and Private Capital Flows to Latin America. Inter-American Development Bank, luty 2003. http://dx.doi.org/10.18235/0010810.
Pełny tekst źródłaWen, 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.
Pełny tekst źródłaWood, William F., David L. Largent i Darvin A. DeShazer. The cooked shellfish-odour of the mushroom Russula xerampelina. Verlag der Österreichischen Akademie der Wissenschaften, styczeń 2024. http://dx.doi.org/10.1553/biosystecol.3.e115244.
Pełny tekst źródłaHeresi, Rodrigo. From Macroeconomic Stability to Welfare: Optimizing Fiscal Rules in Commodity-Dependent Economies. Inter-American Development Bank, październik 2023. http://dx.doi.org/10.18235/0005197.
Pełny tekst źródłaDiebold, Francis, i Kamil Yilmaz. Macroeconomic Volatility and Stock Market Volatility, Worldwide. Cambridge, MA: National Bureau of Economic Research, sierpień 2008. http://dx.doi.org/10.3386/w14269.
Pełny tekst źródłaAndersen, Torben, Tim Bollerslev, Peter Christoffersen i Francis Diebold. Volatility Forecasting. Cambridge, MA: National Bureau of Economic Research, marzec 2005. http://dx.doi.org/10.3386/w11188.
Pełny tekst źródłaHausmann, Ricardo, Michael Gavin, Ernesto H. Stein i Carmen Pagés. Financial Turmoil and the Choice of Exchange Rate Regime. Inter-American Development Bank, styczeń 1999. http://dx.doi.org/10.18235/0010731.
Pełny tekst źródłaSimon, James E., Uri M. Peiper, Gaines Miles, A. Hetzroni, Amos Mizrach i Denys J. Charles. Electronic Sensing of Fruit Ripeness Based on Volatile Gas Emissions. United States Department of Agriculture, październik 1994. http://dx.doi.org/10.32747/1994.7568762.bard.
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