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Статті в журналах з теми "Volatilit"
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.
Повний текст джерелаSholihah, 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.
Повний текст джерелаCarolina, 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.
Повний текст джерелаKays, 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.
Повний текст джерелаEsteve-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.
Повний текст джерелаNugrahapsari, 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.
Повний текст джерелаXie, 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.
Повний текст джерелаDinga, 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.
Повний текст джерелаTian, 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.
Повний текст джерелаAlberola, 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.
Повний текст джерелаДисертації з теми "Volatilit"
Hrbek, Filip. "Metody předvídání volatility." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264689.
Повний текст джерелаBlanc, 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.
Повний текст джерелаIn 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.
Повний текст джерелаŠvehla, Pavel. "Analýza volatility akciových indexů na evropských burzách." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-81856.
Повний текст джерелаRossi, Luca. "Essays on volatility networks and uncertainty." Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/565613.
Повний текст джерелаAquesta 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.
Повний текст джерелаŠtěrba, 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.
Повний текст джерелаVarga, 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.
Повний текст джерелаPáral, 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.
Повний текст джерелаPEDIO, 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.
Повний текст джерелаThis 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.
Книги з теми "Volatilit"
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.
Знайти повний текст джерелаSchwartz, 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.
Повний текст джерелаWen, 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.
Знайти повний текст джерелаTakahashi, 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.
Повний текст джерелаSinclair, Euan. Volatility Trading. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118662724.
Повний текст джерелаShiller, Robert J. Market volatility. Cambridge, Mass: MIT Press, 1989.
Знайти повний текст джерелаSinclair, Euan. Volatility Trading. New York: John Wiley & Sons, Ltd., 2008.
Знайти повний текст джерелаG, Andersen Torben, and National Bureau of Economic Research., eds. Volatility forecasting. Cambridge, Mass: National Bureau of Economic Research, 2005.
Знайти повний текст джерела1959-, Albalak Ramon J., ed. Polymer devolatilization. New York: M. Dekker, 1996.
Знайти повний текст джерелаGatheral, Jim. The Volatility Surface. New York: John Wiley & Sons, Ltd., 2006.
Знайти повний текст джерелаЧастини книг з теми "Volatilit"
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.
Повний текст джерелаSarkar, 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.
Повний текст джерелаFrancioni, 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.
Повний текст джерелаEngle, 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.
Повний текст джерелаTabb, 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.
Повний текст джерелаMartell, 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.
Повний текст джерелаBradley, 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.
Повний текст джерелаGreifeld, 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.
Повний текст джерелаOzenbas, 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.
Повний текст джерелаFiorenza, 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.
Повний текст джерелаТези доповідей конференцій з теми "Volatilit"
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.
Повний текст джерелаYasuike, 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.
Повний текст джерелаTonovska, 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.
Повний текст джерелаAlgan, 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.
Повний текст джерелаStaugaitis, 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.
Повний текст джерелаGantenbein, 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.
Повний текст джерелаKaragöz, 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.
Повний текст джерелаNarain, 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.
Повний текст джерелаGibson, 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.
Повний текст джерелаRen, 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.
Повний текст джерелаЗвіти організацій з теми "Volatilit"
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.
Повний текст джерелаGavin, 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.
Повний текст джерелаMicco, 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.
Повний текст джерелаWen, 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.
Повний текст джерелаWood, 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.
Повний текст джерелаHeresi, 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.
Повний текст джерелаDiebold, 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.
Повний текст джерелаAndersen, 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.
Повний текст джерелаHausmann, 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.
Повний текст джерелаSimon, 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.
Повний текст джерела