Volatility return intervals analysis of the Japanese market
Jung, W.-S.; Wang, F. Z.; Havlin, S.; Kaizoji, T.; Moon, H.-T.; Stanley, H. E.
2008-03-01
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval τ and its mean . We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.
Multifactor analysis of multiscaling in volatility return intervals.
Wang, Fengzhong; Yamasaki, Kazuko; Havlin, Shlomo; Stanley, H Eugene
2009-01-01
We study the volatility time series of 1137 most traded stocks in the U.S. stock markets for the two-year period 2001-2002 and analyze their return intervals tau , which are time intervals between volatilities above a given threshold q . We explore the probability density function of tau , P_(q)(tau) , assuming a stretched exponential function, P_(q)(tau) approximately e;(-tau;(gamma)) . We find that the exponent gamma depends on the threshold in the range between q=1 and 6 standard deviations of the volatility. This finding supports the multiscaling nature of the return interval distribution. To better understand the multiscaling origin, we study how gamma depends on four essential factors, capitalization, risk, number of trades, and return. We show that gamma depends on the capitalization, risk, and return but almost does not depend on the number of trades. This suggests that gamma relates to the portfolio selection but not on the market activity. To further characterize the multiscaling of individual stocks, we fit the moments of tau , mu_(m) identical with(tautau);(m);(1m) , in the range of 10portfolio optimization.
Multifactor analysis of multiscaling in volatility return intervals
Wang, Fengzhong; Yamasaki, Kazuko; Havlin, Shlomo; Stanley, H. Eugene
2009-01-01
We study the volatility time series of 1137 most traded stocks in the U.S. stock markets for the two-year period 2001-2002 and analyze their return intervals τ , which are time intervals between volatilities above a given threshold q . We explore the probability density function of τ , Pq(τ) , assuming a stretched exponential function, Pq(τ)˜e-τγ . We find that the exponent γ depends on the threshold in the range between q=1 and 6 standard deviations of the volatility. This finding supports the multiscaling nature of the return interval distribution. To better understand the multiscaling origin, we study how γ depends on four essential factors, capitalization, risk, number of trades, and return. We show that γ depends on the capitalization, risk, and return but almost does not depend on the number of trades. This suggests that γ relates to the portfolio selection but not on the market activity. To further characterize the multiscaling of individual stocks, we fit the moments of τ , μm≡⟨(τ/⟨τ⟩)m⟩1/m , in the range of 10portfolio optimization.
Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
Gontis, V.; Havlin, S.; Kononovicius, A.; Podobnik, B.; Stanley, H. E.
2016-11-01
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive macroscopic equations based on the microscopic herding interactions of agents and find that they are able to reproduce various stylized facts of different markets and different assets with the same set of model parameters. We show that the power-law properties and the scaling of return intervals and other financial variables have a similar origin and could be a result of a general class of non-linear stochastic differential equations derived from a master equation of an agent system that is coupled by herding interactions. Specifically, we find that this approach enables us to recover the volatility return interval statistics as well as volatility probability and spectral densities for the NYSE and FOREX markets, for different assets, and for different time-scales. We find also that the historical S&P500 monthly series exhibits the same volatility return interval properties recovered by our proposed model. Our statistical results suggest that human herding is so strong that it persists even when other evolving fluctuations perturbate the financial system.
Indication of multiscaling in the volatility return intervals of stock markets
Wang, Fengzhong; Yamasaki, Kazuko; Havlin, Shlomo; Stanley, H. Eugene
2008-01-01
The distribution of the return intervals τ between price volatilities above a threshold height q for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined nonlinear mechanism, we investigate intraday data sets of 500 stocks which consist of Standard & Poor’s 500 index. We show that the cumulative distribution of return intervals has systematic deviations from scaling. We support this finding by studying the m -th moment μm≡⟨(τ/⟨τ⟩)m⟩1/m , which show a certain trend with the mean interval ⟨τ⟩ . We generate surrogate records using the Schreiber method, and find that their cumulative distributions almost collapse to a single curve and moments are almost constant for most ranges of ⟨τ⟩ . Those substantial differences suggest that nonlinear correlations in the original volatility sequence account for the deviations from a single scaling law. We also find that the original and surrogate records exhibit slight tendencies for short and long ⟨τ⟩ , due to the discreteness and finite size effects of the records, respectively. To avoid as possible those effects for testing the multiscaling behavior, we investigate the moments in the range 10volatility.
Fluctuation behaviors of financial return volatility duration
Niu, Hongli; Wang, Jun; Lu, Yunfan
2016-04-01
It is of significantly crucial to understand the return volatility of financial markets because it helps to quantify the investment risk, optimize the portfolio, and provide a key input of option pricing models. The characteristics of isolated high volatility events above certain threshold in price fluctuations and the distributions of return intervals between these events arouse great interest in financial research. In the present work, we introduce a new concept of daily return volatility duration, which is defined as the shortest passage time when the future volatility intensity is above or below the current volatility intensity (without predefining a threshold). The statistical properties of the daily return volatility durations for seven representative stock indices from the world financial markets are investigated. Some useful and interesting empirical results of these volatility duration series about the probability distributions, memory effects and multifractal properties are obtained. These results also show that the proposed stock volatility series analysis is a meaningful and beneficial trial.
Pricing Volatility of Stock Returns with Volatile and Persistent Components
DEFF Research Database (Denmark)
Zhu, Jie
2009-01-01
This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock ma...... markets. A positive or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly priced for the return dynamic process....... markets. Their in-mean effects on returns are tested. The empirical results show that the persistent component is much more important for the volatility dynamic process than is the volatile component. However, the volatile component is found to be a significant pricing factor of asset returns for most...
Pricing Volatility of Stock Returns with Volatile and Persistent Components
DEFF Research Database (Denmark)
Zhu, Jie
In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock m......, a positive or risk-premium effect exists between return and the volatile component, yet the persistent component is not significantly priced for return dynamic process....... markets. Their in-mean effects on return are also tested. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant pricing factor of asset returns for most markets...
Oil Volatility Risk and Expected Stock Returns
DEFF Research Database (Denmark)
Christoffersen, Peter; Pan, Xuhui (Nick)
After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...... return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...
Oil Volatility Risk and Expected Stock Returns
DEFF Research Database (Denmark)
Christoffersen, Peter; Pan, Xuhui (Nick)
return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...
The Economic Value of Predicting Stock Index Returns and Volatility
Marquering, W.; Verbeek, M.J.C.M.
2000-01-01
In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from 1954-1998, we
Factor Structure in Commodity Futures Return and Volatility
DEFF Research Database (Denmark)
Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther
-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity...
The Volatility Effect: Lower Risk without Lower Return
D.C. Blitz (David); P. van Vliet (Pim)
2007-01-01
textabstractWe present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this volatility effect within the US, European and
Factor Structure in Commodity Futures Return and Volatility
DEFF Research Database (Denmark)
Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther
Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...... with the equity market. We find evidence of a factor structure in daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than in returns. When computing model-free realized commodity betas with the stock market we find that they were high during 2008......-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity...
Effects of intraday weather changes on asset returns and volatilities
Directory of Open Access Journals (Sweden)
Hyein Shim
2017-12-01
Full Text Available Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean stock and derivatives markets. Our intraday analyses contribute to the existing literature by going beyond the attempt of prior studies to capture the weather effects using the average daily observations alone. The empirical results document a modest presence of the weather effect on the returns and volatilities, though the significance of its impact is found to vary across different market conditions and indices. We also find that the return and volatility respond asymmetrically to extremely good and bad weather conditions. The intraday analyses show that the weather effect on the returns and volatilities is more statistically significant at the beginning of the working day or the lunch break, indicating the intraday weather effects on the financial market.
Range-based volatility, expected stock returns, and the low volatility anomaly
2017-01-01
One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics. PMID:29190652
Range-based volatility, expected stock returns, and the low volatility anomaly.
Blau, Benjamin M; Whitby, Ryan J
2017-01-01
One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.
Range-based volatility, expected stock returns, and the low volatility anomaly.
Directory of Open Access Journals (Sweden)
Benjamin M Blau
Full Text Available One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility, which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.
US Implied Volatility as A predictor of International Returns
Directory of Open Access Journals (Sweden)
Mehmet F. Dicle
2017-12-01
Full Text Available This study provides evidence of the US implied volatility’s e ect on international equitymarkets’ returns. This evidence has two main implications: i investors may find that foreign equityreturns adjusting to US implied volatility may not provide true diversification benefits, and ii foreignequity returns may be predicted using US implied volatility. Our sample includes US volatility index(VIX and major equity indexes in twenty countries for the period between January, 2000 throughJuly, 2017. VIX leads eighteen of the international markets and Granger causes seventeen of themarkets after controlling for the S&P-500 index returns and the 2007/2008 US financial crisis. USinvestors looking to diversify US risk may find that international equities may not provide intendeddiversification benefits. Our evidence provides support for predictability of international equity returnsbased on US volatility.
Modeling returns volatility: Realized GARCH incorporating realized risk measure
Jiang, Wei; Ruan, Qingsong; Li, Jianfeng; Li, Ye
2018-06-01
This study applies realized GARCH models by introducing several risk measures of intraday returns into the measurement equation, to model the daily volatility of E-mini S&P 500 index futures returns. Besides using the conventional realized measures, realized volatility and realized kernel as our benchmarks, we also use generalized realized risk measures, realized absolute deviation, and two realized tail risk measures, realized value-at-risk and realized expected shortfall. The empirical results show that realized GARCH models using the generalized realized risk measures provide better volatility estimation for the in-sample and substantial improvement in volatility forecasting for the out-of-sample. In particular, the realized expected shortfall performs best for all of the alternative realized measures. Our empirical results reveal that future volatility may be more attributable to present losses (risk measures). The results are robust to different sample estimation windows.
Volatility smile and stochastic arbitrage returns
Sergei Fedotov; Stephanos Panayides
2004-01-01
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random...
Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector
Directory of Open Access Journals (Sweden)
V. Chirila
2015-01-01
Full Text Available This paper presents the results obtained following the testing of five hypotheses regarding conditional return and volatility of the most listed European stocks in the steel & iron subsector. The following elements of the stocks are analysed: time variation of volatility, seasonality of return and volatility, relationship between return and volatility and volatility asymmetry. The results obtained confirm for all the analyzed stocks the existence of volatility variation in time, the lack of correlation between return and volatility, the existence of asymmetry phenomenon of volatility and the presence in some stocks of the seasonality effect both for return and volatility.
Realized volatility and absolute return volatility: a comparison indicating market risk.
Zheng, Zeyu; Qiao, Zhi; Takaishi, Tetsuya; Stanley, H Eugene; Li, Baowen
2014-01-01
Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.
Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary
DEFF Research Database (Denmark)
Dahl, Christian Møller; Iglesias, Emma M.
In this paper a new GARCH-M type model, denoted the GARCH-AR, is proposed. In particular, it is shown that it is possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized disturbance process. Importantly, the volatility in the GARCH......, we provide an empirical illustration showing the empirical relevance of the GARCH-AR model based on modelling a wide range of leading US stock return series....
Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
R. Tansuchat (Roengchai); C-L. Chang (Chia-Lin); M.J. McAleer (Michael)
2009-01-01
textabstractThis paper estimates the long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat,
Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); R. Tansuchat (Roengchai)
2012-01-01
textabstractThis paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat,
Volatility modeling of asset returns | Babayemi | International Journal ...
African Journals Online (AJOL)
This research was carried out using the daily close share price of Nestle Nigeria Plc to identify and model its volatility of returns in the Nigerian Stock Exchange Market. The result of the study showed that basic Generalized Conditionally Heteroskedastic Model (GARCH (1,1)) model (with Gaussian Error Assumptions) best ...
VOLATILITY AND KURTOSIS OF DAILY STOCK RETURNS AT MSE
Directory of Open Access Journals (Sweden)
Zoran Ivanovski
2015-12-01
Full Text Available Prominent financial stock pricing models are built on assumption that asset returns follow a normal (Gaussian distribution. However, many authors argue that in the practice stock returns are often characterized by skewness and kurtosis, so we test the existence of the Gaussian distribution of stock returns and calculate the kurtosis of several stocks at the Macedonian Stock Exchange (MSE. Obtaining information about the shape of distribution is an important step for models of pricing risky assets. The daily stock returns at Macedonian Stock Exchange (MSE are characterized by high volatility and non-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility clustering and high kurtosis. The fact that daily stock returns at MSE are not normally distributed put into doubt results that rely heavily on this assumption and have significant implications for portfolio management. We consider this stock market as good representatives of emerging markets. Therefore, we argue that our results are valid for other similar emerging stock markets.
Karen Jingrong Lin; Khondkar Karim; Clairmont Carter
2014-01-01
This study attempts to address two research questions on the idiosyncratic return volatility and stock price informativeness. First, whether idiosyncratic return volatility is a valid proxy for stock price informativeness in emerging markets, and if it is, whether there exists a monotonic relationship between the idiosyncratic return volatility and stock price informativeness throughout the whole sample. We find that the idiosyncratic return volatility reflects the stock price informativeness...
Fundamental volatility and stock returns : does fundamental volatility explain stock returns?
Selboe, Guner K.; Virdee, Jaspal Singh
2017-01-01
In this thesis, we investigate whether the fundamental uncertainty can explain the crosssection of stock returns. To measure the fundamental uncertainty, we estimate rolling standard deviations and accounting betas of four different fundamentals: revenues, gross profit, earnings and cash flows. The standard deviation and the beta of revenues significantly explain returns in the Fama-Macbeth procedure, but only appears significant among smaller stocks in the portfolio formation ...
Realized volatility and absolute return volatility: a comparison indicating market risk.
Directory of Open Access Journals (Sweden)
Zeyu Zheng
Full Text Available Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.
International Nuclear Information System (INIS)
Bogachev, Mikhail I; Bunde, Armin; Kireenkov, Igor S; Nifontov, Eugene M
2009-01-01
We study the statistics of return intervals between large heartbeat intervals (above a certain threshold Q) in 24 h records obtained from healthy subjects. We find that both the linear and the nonlinear long-term memory inherent in the heartbeat intervals lead to power-laws in the probability density function P Q (r) of the return intervals. As a consequence, the probability W Q (t; Δt) that at least one large heartbeat interval will occur within the next Δt heartbeat intervals, with an increasing elapsed number of intervals t after the last large heartbeat interval, follows a power-law. Based on these results, we suggest a method of obtaining a priori information about the occurrence of the next large heartbeat interval, and thus to predict it. We show explicitly that the proposed method, which exploits long-term memory, is superior to the conventional precursory pattern recognition technique, which focuses solely on short-term memory. We believe that our results can be straightforwardly extended to obtain more reliable predictions in other physiological signals like blood pressure, as well as in other complex records exhibiting multifractal behaviour, e.g. turbulent flow, precipitation, river flows and network traffic.
Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns
DEFF Research Database (Denmark)
Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour
The main contribution of this paper is to propose bootstrap methods for realized volatility-like estimators defined on pre-averaged returns. In particular, we focus on the pre-averaged realized volatility estimator proposed by Podolskij and Vetter (2009). This statistic can be written (up to a bias......-overlapping nature of the pre-averaged returns implies that these are asymptotically independent, but possibly heteroskedastic. This motivates the application of the wild bootstrap in this context. We provide a proof of the first order asymptotic validity of this method for percentile and percentile-t intervals. Our...... Monte Carlo simulations show that the wild bootstrap can improve the finite sample properties of the existing first order asymptotic theory provided we choose the external random variable appropriately. We use empirical work to illustrate its use in practice....
Paul D. McNelis
1993-01-01
This paper is a data-analytic study of the relationships among international asset price volatilities and the time-varying correlations of asset returns in a small open economy (Australia) with international asset returns. Making use of recent developments in time-series approaches to volatility estimation, impulse response functions, variance decomposition, and Kalman filtering, I show that the Australian stock market volatility is most closely linked with volatility in the UK stock market, ...
On fractality and chaos in Moroccan family business stock returns and volatility
Lahmiri, Salim
2017-05-01
The purpose of this study is to examine existence of fractality and chaos in returns and volatilities of family business companies listed on the Casablanca Stock Exchange (CSE) in Morocco, and also in returns and volatility of the CSE market index. Detrended fluctuation analysis based Hurst exponent and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) model are used to quantify fractality in returns and volatility time series respectively. Besides, the largest Lyapunov exponent is employed to quantify chaos in both time series. The empirical results from sixteen family business companies follow. For return series, fractality analysis show that most of family business returns listed on CSE exhibit anti-persistent dynamics, whilst market returns have persistent dynamics. Besides, chaos tests show that business family stock returns are not chaotic while market returns exhibit evidence of chaotic behaviour. For volatility series, fractality analysis shows that most of family business stocks and market index exhibit long memory in volatility. Furthermore, results from chaos tests show that volatility of family business returns is not chaotic, whilst volatility of market index is chaotic. These results may help understanding irregularities patterns in Moroccan family business stock returns and volatility, and how they are different from market dynamics.
A model of return intervals between earthquake events
Zhou, Yu; Chechkin, Aleksei; Sokolov, Igor M.; Kantz, Holger
2016-06-01
Application of the diffusion entropy analysis and the standard deviation analysis to the time sequence of the southern California earthquake events from 1976 to 2002 uncovered scaling behavior typical for anomalous diffusion. However, the origin of such behavior is still under debate. Some studies attribute the scaling behavior to the correlations in the return intervals, or waiting times, between aftershocks or mainshocks. To elucidate a nature of the scaling, we applied specific reshulffling techniques to eliminate correlations between different types of events and then examined how it affects the scaling behavior. We demonstrate that the origin of the scaling behavior observed is the interplay between mainshock waiting time distribution and the structure of clusters of aftershocks, but not correlations in waiting times between the mainshocks and aftershocks themselves. Our findings are corroborated by numerical simulations of a simple model showing a very similar behavior. The mainshocks are modeled by a renewal process with a power-law waiting time distribution between events, and aftershocks follow a nonhomogeneous Poisson process with the rate governed by Omori's law.
Modeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices
Awalludin, S. A.; Ulfah, S.; Soro, S.
2018-01-01
In the financial field, volatility is one of the key variables to make an appropriate decision. Moreover, modeling volatility is needed in derivative pricing, risk management, and portfolio management. For this reason, this study presented a widely used volatility model so-called GARCH(1,1) for estimating the volatility of daily returns of stock prices of Indonesia from July 2007 to September 2015. The returns can be obtained from stock price by differencing log of the price from one day to the next. Parameters of the model were estimated by Maximum Likelihood Estimation. After obtaining the volatility, natural cubic spline was employed to study the behaviour of the volatility over the period. The result shows that GARCH(1,1) indicate evidence of volatility clustering in the returns of some Indonesia stock prices.
The joint dynamics of liquidity, returns, and volatility across small and large firms
Tarun Chordia; Asani Sarkar; Avanidhar Subrahmanyam
2005-01-01
This paper explores liquidity spillovers in market-capitalization based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small and large cap sector are modeled by way of a vector autoregression model, using data that spans more than 3000 trading days. We find that volatility and liquidity innovations in either sector are informative in predicting liquidity shifts in the other. Impulse responses indicate the existence of persistent liquidity, return, and volatil...
Measuring the Effect of Exchange Rate Movements on Stock Market Returns Volatility: GARCH Model
Directory of Open Access Journals (Sweden)
Abdelkadir BESSEBA
2017-06-01
Full Text Available This paper aims to investigate the dynamic links between exchange rate fluctuations and stock market return volatility. For this purpose, we have employed a Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model. Stock market returns sensitivities are found to be stronger for exchange rates, implying that exchange rate change plays an important role in determining the dynamics of the stock market returns.
Electronic trading system and returns volatility in the oil futures market
International Nuclear Information System (INIS)
Liao, Huei-Chu; Lee, Yi-Huey; Suen, Yu-Bo
2008-01-01
This paper uses daily Brent crude prices to investigate the employment of electronic trading on the returns conditional volatility in the oil futures market. After a suitable GARCH model is established, the conditional volatility series are found. The Bai and Perron model is then used to find two significant structural breaks for these conditional volatility series around two implementation dates of electronic trading. This result indicates that the change in the trading system has significant impacts on the returns volatility since our estimated second break date is very close to the all-electronic trade implementation date. Moreover, the conditional volatility in the all-electronic trading period is found to be more dominated by the temporal persistence rather than the volatility clustering effect. All these evidence can shed some light for explaining the high relationship between more volatile world oil price and the more popular electronic trade. (author)
Directory of Open Access Journals (Sweden)
Taly I
2015-09-01
Full Text Available The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1 model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.
How to obtain high returns with lower volatility in emerging markets?
Directory of Open Access Journals (Sweden)
Nipun Agarwal
2014-12-01
Full Text Available Emerging markets equity indexes are usually seen as high return with a high degree of volatility associated with them. However, this should not be the case, if you choose high-quality firms that have increasing returns and lower volatility. The intent of this paper is to introduce the risk weighted alpha (RWA indexation method that helps identify stocks that have stable increasing returns with lower volatility. In order to review this method in the context of emerging markets scenario, this paper takes the example of the Sensex index listed on the Bombay Stock Exchange (BSE that comprises India’s top 30 stocks by market capitalisation. Results show that some stocks like Hindustan Lever do show increasing returns and lower volatility. The RWA Sensex index outperforms the BSE Sensex index, while still maintaining a beta that is the same as that in the BSE Sensex index.
Relationship of the change in implied volatility with the underlying equity index return in Thailand
Thakolsri, Supachock; Sethapramote, Yuthana; Jiranyakul, Komain
2016-01-01
In this study, we examine the relationship between the change in implied volatility index and the underlying stock index return in the Thai stock market. The data used are daily data during November 2010 to December 2013. The regression analysis is performed on stationary series. The empirical results reveal that there is evidence of a significantly negative and asymmetric relationship between the underlying stock index return and the change in implied volatility. The finding in this study gi...
A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns
Köksal, Bülent
2009-01-01
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag moving average term” specification achieves the best overall performance for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed returns bett...
Housing market volatility in the OECD area: Evidence from VAR based return decompositions
DEFF Research Database (Denmark)
Engsted, Tom; Pedersen, Thomas Quistgaard
. For the majority of countries news about future returns is the main driver, and both real interest rates and risk premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have......Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ‡ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return volatility...... a common factor among the majority of countries. However, in a minority of countries (Germany, Japan, and the Netherlands) return movements have been basically unrelated to return movements in other countries....
Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model
Wang, Jie; Wang, Jun; Stanley, H. Eugene
2018-02-01
To investigate the characteristics of extreme events in financial markets and the corresponding return intervals among these events, we use a Potts dynamic system to construct a random financial time series model of the attitudes of market traders. We use multiscale multifractal detrended cross-correlation analysis (MM-DCCA) and Lempel-Ziv complexity (LZC) perform numerical research of the return intervals for two significant China's stock market indices and for the proposed model. The new MM-DCCA method is based on the Hurst surface and provides more interpretable cross-correlations of the dynamic mechanism between different return interval series. We scale the LZC method with different exponents to illustrate the complexity of return intervals in different scales. Empirical studies indicate that the proposed return intervals from the Potts system and the real stock market indices hold similar statistical properties.
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Huang, Zhuo (Albert); Shek, Howard Howan
GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a realized measure of volatility in these models. In this paper we introduce a new framework for the joint modeling of returns and realized measures of volatility. The Realized GARCH...... framework nests most GARCH models as special cases and is, in many ways, a natural extension of standard GARCH models. We pay special attention to linear and log-linear Realized GARCH specifications. This class of models has several attractive features. It retains the simplicity and tractability...... to latent volatility. This equation facilitates a simple modeling of the dependence between returns and future volatility that is commonly referred to as the leverage effect. An empirical application with DJIA stocks and an exchange traded index fund shows that a simple Realized GARCH structure leads...
Modelling Time-Varying Volatility in Financial Returns
DEFF Research Database (Denmark)
Amado, Cristina; Laakkonen, Helinä
2014-01-01
The “unusually uncertain” phase in the global financial markets has inspired many researchers to study the effects of ambiguity (or “Knightian uncertainty”) on the decisions made by investors and their implications for the capital markets. We contribute to this literature by using a modified...... version of the time-varying GARCH model of Amado and Teräsvirta (2013) to analyze whether the increasing uncertainty has caused excess volatility in the US and European government bond markets. In our model, volatility is multiplicatively decomposed into two time-varying conditional components: the first...... being captured by a stable GARCH(1,1) process and the second driven by the level of uncertainty in the financial market....
Bid-Ask Spreads, Trading Volume and Return Volatility: Intraday Evidence from Indian Stock Market
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Rashmi Ranjan Paital
2016-01-01
Full Text Available This paper empirically examines the relationship between stock return volatility, trading volume and bid-ask spread within the scope of mixture of distribution hypothesis (MDH and sequential information arrival hypothesis (SIAH in the Indian stock market using high frequency 5-minute data set over the period of 2 July 2012 to 31 December 2012. This is the first kind of study in India using bid-ask spread as an additional information variable along with trading volume to investigate the relationship with stock return volatility. Our empirical findings provide evidence of a positive contemporaneous relationship between return volatility and trading volume, and also between return volatility and bid-ask spread. Moreover, the results of Granger causality test show that the information content of trading volume and bid-ask spread are useful for predicting stock return volatility. Our results indicate that information arrival to investors tends to follow a sequential rather than a simultaneous process. This finding is consistent with the sequential information arrival hypothesis and contradicts the mixture of distribution hypothesis.
Tsionas, Mike G.; Michaelides, Panayotis G.
2017-09-01
We use a novel Bayesian inference procedure for the Lyapunov exponent in the dynamical system of returns and their unobserved volatility. In the dynamical system, computation of largest Lyapunov exponent by traditional methods is impossible as the stochastic nature has to be taken explicitly into account due to unobserved volatility. We apply the new techniques to daily stock return data for a group of six countries, namely USA, UK, Switzerland, Netherlands, Germany and France, from 2003 to 2014, by means of Sequential Monte Carlo for Bayesian inference. The evidence points to the direction that there is indeed noisy chaos both before and after the recent financial crisis. However, when a much simpler model is examined where the interaction between returns and volatility is not taken into consideration jointly, the hypothesis of chaotic dynamics does not receive much support by the data ("neglected chaos").
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Yoghi Citra Pratama
2018-01-01
Full Text Available According to understand the behavior of Islamic equity markets the primary objective of this research is to analyze the effect of macroeconomic indicators and International Islamic Index on return volatility of Jakarta Islamic Index. The analysis method used in this study is AutoRegressive Conditional Heteroscedastic-Generalized AutoRegressive Conditional Heteroscedastic (ARCH-GARCH. The result of this research showed that all variables, i.e., BI rate, inflation rate, IDR-USD exchange rate, DJIUS index, DJIUK index, FTSJP index and FTSMY index have a simultaneously significant impact on return volatility of JII. While t-test results show that BI rate, IDR-USD exchange rate, DJIUK index and FTSMY index have a substantial effect on return volatility of JII.DOI: 10.15408/aiq.v10i1.5550
The dynamic conditional relationship between stock market returns and implied volatility
Park, Sung Y.; Ryu, Doojin; Song, Jeongseok
2017-09-01
Using the dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model, we empirically examine the dynamic relationship between stock market returns (KOSPI200 returns) and implied volatility (VKOSPI), as well as their statistical mechanics, in the Korean market, a representative and leading emerging market. We consider four macroeconomic variables (exchange rates, risk-free rates, term spreads, and credit spreads) as potential determinants of the dynamic conditional correlation between returns and volatility. Of these macroeconomic variables, the change in exchange rates has a significant impact on the dynamic correlation between KOSPI200 returns and the VKOSPI, especially during the recent financial crisis. We also find that the risk-free rate has a marginal effect on this dynamic conditional relationship.
Weather effects on the returns and volatility of the Shanghai stock market
Kang, Sang Hoon; Jiang, Zhuhua; Lee, Yeonjeong; Yoon, Seong-Min
2010-01-01
This study investigates the weather effects on returns as well as volatility in the Shanghai stock market. In order to analyze the influence of the opening of B-share market to domestic investors, it is assumed that domestic investors are more sensitive to the Shanghai local weather than foreign investors. In doing so, extreme weather condition dummies are generated by using the 21-day and 31-day moving average and its standard deviation. Empirical analysis provides two key results regarding weather effects. First, the weather effect exists in the A-share returns, but does not exist in the B-share returns over the whole period. In addition, the post-opening period shows the strong weather effect on B-share returns only, indicating that the market openness to domestic investors results in the weather effect. Second, the weather effect has a strong influence on the volatility of both A- and B-share returns. Similar to the case of returns, the weather effect on volatility is explained by the openness of B-share market.
Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence
Bentes, Sonia R.
2015-11-01
This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market conditions, which is particularly relevant in periods of high volatility. This makes understanding gold volatility important for a number of theoretical and empirical applications, namely investment valuation, portfolio selection, risk management, monetary policy-making, futures and option pricing, hedging strategies and value-at-risk (VaR) policies (e.g. Baur and Lucey (2010)). We use daily data from August 2, 1976 to February 6, 2015 and divide the full sample into two periods: the in-sample period (August 2, 1976-October 24, 2008) is used to estimate model coefficients, while the out-of-sample period (October 27, 2008-February 6, 2015) is for forecasting purposes. Specifically, we employ the GARCH(1,1), IGARCH(1,1) and FIGARCH(1, d,1) specifications. The results show that the FIGARCH(1, d,1) is the best model to capture linear dependence in the conditional variance of the gold returns as given by the information criteria. It is also found to be the best model to forecast the volatility of gold returns.
Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
C. Cakmakli (Cem); D.J.C. van Dijk (Dick)
2010-01-01
textabstractThis paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that
Getting the most out of macroeconomic information for predicting stock returns and volatility
Cakmakli, C.; van Dijk, D.
2011-01-01
This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only include
The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
C-L. Chang (Chia-Lin); H-K. Hsu (Hui-Kuang); M.J. McAleer (Michael)
2013-01-01
textabstractThis paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models
The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets
Umutlu, M.; Akdeniz, L.; Salih, A.A.
2009-01-01
In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total
The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Posedel, Petra
We study the risk premium and leverage effect in the S&P500 market using the stochastic volatility-in-mean model of Barndor¤-Nielsen & Shephard (2001). The Merton (1973, 1980) equilibrium asset pricing condition linking the conditional mean and conditional variance of discrete time returns is rei...
Investor sentiment, mutual fund flows and its impact on returns and volatility
Lehnert, T.; Müller, A.; Frijns, B.P.M.; Beaumont, R.J.; Daele, M. van
2008-01-01
- Purpose – The purpose of this paper is to investigate the impact of individual investor sentiment on the return process and conditional volatility of three main US market indices (Dow Jones Industrial Average, S&P500 and Nasdaq100). Individual investor sentiment is measured by aggregate money
Forward-looking disclosure and corporate reputation as mechanisms to reduce stock return volatility
Directory of Open Access Journals (Sweden)
Francisco Bravo
2016-01-01
Full Text Available The purpose of this paper is to investigate whether forward-looking disclosures and corporate reputation lead to a reduction in stock return volatility. This study measures financial forward-looking information, by conducting a content analysis of annual reports for a sample of US companies. Since every annual report was manually examined and coded, the study is therefore restricted to the companies listed in Standard and Poor's 100. Results show that financial forward-looking information has significant effects on capital markets. This study contributes to the current literature on voluntary disclosure, by examining the link between the disclosure of financial forward-looking information and stock return volatility. Since stock volatility is linked to information asymmetries and to a higher risk of a company, this analysis implies certain practical implications for both managers and regulators regarding the importance of specific disclosure strategy in capital markets. Moreover, results indicate that forward-looking information disclosed by companies of a higher reputation has a greater effect on stock return volatility. This is the first study that demonstrates that corporate reputation moderates the effects of forward-looking information in capital markets. In addition to the level of disclosed information, the interpretation and the effectiveness of forward-looking information depends on the reputation of a company.
International Nuclear Information System (INIS)
Hammoudeh, Shawkat; Yuan, Yuan; Chiang, Thomas; Nandha, Mohan
2010-01-01
This paper examines the impacts of world, country, and sector-specific variables on the stock return volatility of twenty-seven US sectors in the short- and long-run, accounting for the asymmetric shocks based on GARCH models. In the standard GARCH model the two world variables, oil and Morgan Stanley Capital Index (MSCI), have differing impacts on the US equity sector returns' volatility, with oil price dampening it while MSCI heightening it for most sectors. This result underlines the need for hedging more against world capital market risk relative to oil risk which is probably hedged by many sectors. The world and country factors' impacts are not as pervasive across the board, compared with the sector-specific impacts of the P/B ratio and trading volume which affect almost all sectors. Increases in the P/B ratio would reduce the aggregate volatility, while increases in the trading volume would heighten it for all sectors. Asymmetry of factor impacts on volatility is also found for most sectors. Most of the GARCH factor results are confirmed in the CGARCH model with the exception of the impact of interest rate on the short-lived transitory volatility. Finally, interesting econometric results on the inclusion or exclusion of trading volumes are discussed.
Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria
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Agya Atabani Adi
2017-03-01
Full Text Available The paper examined effect of passed return on current return, shocks spillover and volatility transmission between FX-Stock markets. Using result obtained from VAR-GARCH models, we also calculate the optimal weight and risk minimizing hedging ratio for FX-Stock markets and employed the newly developed bivariate GARCH framework Findings reveal evidence of short term predictability in both markets through time. One period lagged returns significantly impact current return in both markets, and impact was greater in FX market both VAR-GARCH and VAR-AGARCH models. There were evidence of bi-directional volatility transmission in both markets and uni-directional shocks spillover from stock to FX market in both models. VAR-AGARCH model showed evidence of leverage effect; bad news has more impact on volatility than positive news of the same magnitude. We showed that optimal polio of FX-Stock market should holds more foreign exchange to stocks in their asset polio. Our result showed evidence of effective hedging in FX-Stock markets in Nigerian. Hence, the inclusion of stocks in diversified polio of foreign exchange could improve it risks adjusted performance of hedging ratio.
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Asheesh Pandey
2017-03-01
Full Text Available In the study, we examine if there are any volatility patterns in stock returns for India. Data are employed for 493 companies that form part of BSE 500 index from March 2000 to November 2013. Unlike previous international evidence, no volatility anomaly is observed. Consistent with theory, high volatility stocks significantly outperform low volatility stocks. Alternative risk models fail to explain the volatility effect. Consistent with prior research, we confirm the role of firm quality factor in explaining these volatility patterns. Cash flow variability seems to be a more appropriate measure of firm quality compared to profitability.
Behavior of Stock Price Variability over Trading and Nontrading Periods, and Daily Return Volatility
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Sumiyana Sumiyana
2007-09-01
This study concludes that return variance over trading and nontrading periods, along with overnight and lunch break nontrading session, and the first and second trading session, has differed significantly. In addition, daily return volatility is also not identical significantly. Subsequently, this study used size, trading volume, bid-ask spreads and up-down market as control variables. This study contradicts to all prior studies. This study especially suggests contra evidence in comparisons with previous concepts and theories in regards to size, trading volume, bid-ask spreads, and up-down market as control variables.
Modeling the return and volatility of the Greek electricity marginal system price
International Nuclear Information System (INIS)
Theodorou, Petros; Karyampas, Dimitrios
2008-01-01
Traditional cost based optimization models (WASP) for expansion planning do not allow for mark-to-market valuation and cannot satisfy arbitrage free requirements. This work will fill this gap by developing and estimating models for mark-to-market valuation. Furthermore the present paper examines the return and volatility of the newly born Greek's electricity market's marginal system price. A detailed description of the market mechanism and regulation is used to describe how prices are determined in order to proceed with return and volatility modeling. Continuous time mean reverting and time varying mean reverting stochastic processes have been solved in discrete time processes and estimated econometrically along with ARMAX and GARCH models. It was found that GARCH model gave much better estimation and forecasting ability. Strong persistence in mean has been found giving suspicions of market inefficiency and strong incentives for arbitrage opportunities. Finally, the change in the regulatory framework has been controlled and found to have significant impact. (author)
Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns
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Singh Amanjot
2017-10-01
Full Text Available The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models. The results report existence of persistency as well as leverage effects in the banking sector return volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies.
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
DEFF Research Database (Denmark)
Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim
in the search for alternative specifications. We then estimate the models using maximum likelihood on S&P500 returns. Finally, we employ nonlinear least squares on a panel of option data. In comparison with earlier studies that explicitly solve the filtering problem, we analyze a more comprehensive option data......Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...... alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properties of the SQR model and to guide us...
Long-range dependence in returns and volatility of Central European Stock Indices
Czech Academy of Sciences Publication Activity Database
Krištoufek, Ladislav
2010-01-01
Roč. 2010, č. 3 (2010), s. 1-19 R&D Projects: GA ČR GD402/09/H045 Institutional research plan: CEZ:AV0Z10750506 Keywords : long-range dependence * rescaled range * modified rescaled range * bootstrapping Subject RIV: AH - Economics http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-range dependence in returns and volatility of central european stock indices.pdf
Pan, Zhiyuan; Liu, Li
2018-02-01
In this paper, we extend the GARCH-MIDAS model proposed by Engle et al. (2013) to account for the leverage effect in short-term and long-term volatility components. Our in-sample evidence suggests that both short-term and long-term negative returns can cause higher future volatility than positive returns. Out-of-sample results show that the predictive ability of GARCH-MIDAS is significantly improved after taking the leverage effect into account. The leverage effect for short-term volatility component plays more important role than the leverage effect for long-term volatility component in affecting out-of-sample forecasting performance.
Measurement of returns-to-scale using Interval Data Envelopment Analysis models
DEFF Research Database (Denmark)
Hatami-Marbini, Adel; Beigi, Zahra Ghelej; Hougaard, Jens Leth
2018-01-01
The economic concept of Returns-to-Scale (RTS) has been intensively studied in the context of Data Envelopment Analysis (DEA). The conventional DEA models that are used for RTS classification require well-defined and accurate data whereas in reality observations gathered from production systems may...... be characterized by intervals. For instance, the heat losses of the combined production of heat and power (CHP) systems may be within a certain range, hinging on a wide variety of factors such as external temperature and real-time energy demand. Enriching the current literature independently tackling the two...... problems; interval data and RTS estimation; we develop an overarching evaluation process for estimating RTS of Decision Making Units (DMUs) in Imprecise DEA (IDEA) where the input and output data lie within bounded intervals. In the presence of interval data, we introduce six types of RTS involving...
Equity Returns and Volatilities Before and After the 2007-08 Financial Crisis
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Dedi Lidija
2017-05-01
Full Text Available This paper investigates the linkages among equity markets of four European countries (Germany, France, Italy, UK and the USA in terms of market returns and transmission of volatilities. We use daily exchange traded funds (ETF data from January 2002 to March 2016 and utilize both a Multivariate Autoregressive Moving Average model (MARMA and a Generalized Autoregressive Conditional Heteroskedasticity model (GARCH. We divided the data into three separate periods: before the 2007-08 financial crisis, during the crisis and after the crisis. The results show the existence of significant co-movement of returns in all three selected periods although some important differences before and after the financial crisis are noted. Findings also include marked increases in integration of the markets and thus diminishing diversification opportunities for investors. Volatilities appear to react strongly to market movements and their shocks fade away slowly in all five countries during the crisis period. There is also strong evidence of volatility spillovers particularly during and after the crisis periods.
Estimating the Volatility of Cocoa Price Return with ARCH and GARCH Models
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Lya Aklimawati
2013-08-01
Full Text Available Dynamics of market changing as a result of market liberalization have an impact on agricultural commodities price fluctuation. High volatility on cocoa price movement reflect its price and market risk. Because of price and market uncertainty, the market players face some difficulties to make a decision in determining business development. This research was conducted to 1 understand the characteristics of cocoa price movement in cocoa futures trading, and 2analyze cocoa price volatility using ARCH and GARCH type model. Research was carried out by direct observation on the pattern of cocoa price movement in the futures trading and volatility analysis based on secondary data. The data was derived from Intercontinental Exchange ( ICE Futures U.S. Reports. The analysis result showed that GARCH is the best model to predict the value of average cocoa price return volatility, because it meets criteria of three diagnostic checking, which are ARCH-LM test, residual autocorrelation test and residual normality test. Based on the ARCH-LM test, GARCH (1,1did not have heteroscedasticity, because p-value 2 (0.640139and F-statistic (0.640449 were greater than 0.05. Results of residual autocorrelation test indicated that residual value of GARCH (1,1 was random, because the statistic value of Ljung-Box (LBon the 36 th lag is smaller than the statistic value of 2. Whereas, residual normality test concluded the residual of GARCH (1,1 were normally distributed, because AR (29, MA (29, RESID (-1^2, and GARCH (-1 were significant at 5% significance level. Increasing volatility value indicate high potential risk. Price risk can be reduced by managing financial instrument in futures trading such as forward and futures contract, and hedging. The research result also give an insight to the market player for decision making and determining time of hedging. Key words: Volatility, price, cocoa, GARCH, risk, futures trading
International Nuclear Information System (INIS)
Trapero, Juan R.
2016-01-01
In order to integrate solar energy into the grid it is important to predict the solar radiation accurately, where forecast errors can lead to significant costs. Recently, the increasing statistical approaches that cope with this problem is yielding a prolific literature. In general terms, the main research discussion is centred on selecting the “best” forecasting technique in accuracy terms. However, the need of the users of such forecasts require, apart from point forecasts, information about the variability of such forecast to compute prediction intervals. In this work, we will analyze kernel density estimation approaches, volatility forecasting models and combination of both of them in order to improve the prediction intervals performance. The results show that an optimal combination in terms of prediction interval statistical tests can achieve the desired confidence level with a lower average interval width. Data from a facility located in Spain are used to illustrate our methodology. - Highlights: • This work explores uncertainty forecasting models to build prediction intervals. • Kernel density estimators, exponential smoothing and GARCH models are compared. • An optimal combination of methods provides the best results. • A good compromise between coverage and average interval width is shown.
Long-range dependence in returns and volatility of Central European Stock Indices
Czech Academy of Sciences Publication Activity Database
Krištoufek, Ladislav
2010-01-01
Roč. 17, č. 27 (2010), s. 50-67 ISSN 1212-074X R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965 Grant - others:GA UK(CZ) 5183/2010 Institutional research plan: CEZ:AV0Z10750506 Keywords : long-range dependence * bootstrapping * rescaled range analysis * rescaled variance analysis Subject RIV: AH - Economics http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-range dependence in returns and volatility of central european stock indices bces.pdf
The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
DEFF Research Database (Denmark)
Osterrieder, Daniela; Schotman, Peter C.
We develop a model that can match two stylized facts of the term-structure. The first stylized fact is the predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of risk. The second stylized fact is that long-term yields...... are dominated by a level factor, which requires persistence in the spot interest rate. We find that a fractionally integrated process for the short rate plus a fractionally integrated specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain...... the stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with innovations in the level factor to explain the volatility...
Volatility in the Housing Market: Evidence on Risk and Return in theLondon Sub-market
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Steve Cook
2017-10-01
Full Text Available The impact of volatility in housing market analysis is reconsidered via examinaton ofthe risk-return relationship in the London housing market is examined. In addition to providing thefirst empirical results for the relationship between risk (as measured by volatility and returns forthis submarket, the analysis offers a more general message to empiricists via a detailed and explicitevaluation of the impact of empirical design decisions upon inferences. In particular, the negativerisk-return relationship discussed frequently in the housing market literature is examined and shown todepend upon typically overlooked decisions concerning components of the empirical framework fromwhich statistical inferences are drawn.
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Okičić Jasmina
2015-04-01
Full Text Available The main goal of this paper is to investigate the behaviour of stock returns in the case of stock markets from Central and Eastern Europe (CEE, focusing on the relationship between returns and conditional volatility. Since there is relatively little empirical research on the volatility of stock returns in underdeveloped stock markets, with even fewer studies on markets in the transitional economies of the CEE region, this paper is designed to shed some light on the econometric modelling of the conditional mean and volatility of stock returns from this region. The results presented in this paper provide confirmatory evidence that ARIMA and GARCH processes provide parsimonious approximations of mean and volatility dynamics in the case of the selected stock markets. There is overwhelming evidence corroborating the existence of a leverage effect, meaning that negative shocks increase volatility more than positive shocks do. Since financial decisions are generally based upon the trade-off between risk and return, the results presented in this paper will provide valuable information in decision making for those who are planning to invest in stock markets from the CEE region.
Serguey Khovansky; Zhylyevskyy, Oleksandr
2011-01-01
We investigate empirical properties of idiosyncratic volatility using cross-sections of stock returns in the standard framework of geometric Brownian motion price dynamics. Knowledge of the sign and magnitude of idiosyncratic volatility characteristics may help us better understand the role of idiosyncratic risk in asset pricing. This knowledge may also help practitioners devise innovative investment strategies to exploit profitable investment opportunities that have not been eliminated becau...
Brewer, Wayne Peter
2013-01-01
The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock po...
Out-of-sample Forecasting Performance of Won/Dollar Exchange Rate Return Volatility Model
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Hojin Lee
2009-06-01
Full Text Available We compare the out-of-sample forecasting performance of volatility models using daily exchange rate for the KRW/USD during the period from 1992 to 2008. For various forecasting horizons, historical volatility models with a long memory tend to make more accurate forecasts. Especially, we carefully observe the difference between the EWMA and the GARCH(1,1 model. Our empirical finding that the GARCH model puts too much weight on recent observations relative to those in the past is consistent with prior evidence showing that asset market volatility has a long memory, such as Ding and Granger (1996. The forecasting model with the lowest MSFE and VaR forecast error among the models we consider is the EWMA model in which the forecast volatility for the coming period is a weighted average of recent squared return with exponentially declining weights. In terms of forecast accuracy, it clearly dominates the widely accepted GARCH and rolling window GARCH models. We also present a multiple comparison of the out-of-sample forecasting performance of volatility using the stationary bootstrap of Politis and Romano (1994. We find that the White's reality check for the GARCH(1,1 expanding window model and the FIGARCH(1,1 expanding window model clearly reject the null hypothesis and there exists a better model than the two benchmark models. On the other hand, when the EWMA model is the benchmark, the White's for all forecasting horizons are very high, which indicates the null hypothesis may not be rejected. The Hansen's report the same results. The GARCH(1,1 expanding window model and the FIGARCH(1,1 expanding window model are dominated by the best competing model in most of the forecasting horizons. In contrast, the RiskMetrics model seems to be the most preferred. We also consider combining the forecasts generated by averaging the six raw forecasts and a trimmed set of forecasts which calculate the mean of the four forecasts after disregarding the highest and
Larch Forests of Middle Siberia: Long-Term Trends in Fire Return Intervals
Kharuk, Viacheslav I.; Dvinskaya, Mariya L.; Petrov, Ilya A.; Im, Sergei T.; Ranson, Kenneth J.
2016-01-01
Fire history within the northern larch forests of Central Siberia was studied (65 + deg N). Fires within this area are predominantly caused by lightning strikes rather than human activity. Mean fire return intervals (FRIs) were found to be 112 ± 49 years (based on fire scars) and 106 ± 36 years (based on fire scars and tree natality dates). FRI were increased with latitude increase and observed to be about 80 years at 64 deg N, about 200 years near the Arctic Circle and about 300 years nearby the northern range limit of larch stands (approximately 71 deg + N). Northward FRI increase correlated with incoming solar radiation (r = -0.95). Post Little Ice Age (LIA) warming (after 1850) caused approximately a doubling of fire events (in comparison with a similar period during LIA). The data obtained support a hypothesis of climate-induced fire frequency increase.
Long-range dependence in returns and volatility of global gold market amid financial crises
Omane-Adjepong, Maurice; Boako, Gideon
2017-04-01
Using sampled historical daily gold market data from 07-03-1985 to 06-01-2015, and building on a related work by Bentes (2016), this paper examines the presence of long-range dependence (LRD) in the world's gold market returns and volatility, accounting for structural breaks. The sampled gold market data was divided into subsamples based on four global crises: the September 1992 collapse of the European Exchange Rate Mechanism (ERM), the Asian financial crisis of mid-1997, the Subprime meltdown of 2007, and the recent European sovereign debt crisis, which hit the world's market with varying effects. LRD test was carried-out on the full-sample and subsample periods using three semiparametric methods-before and after adjusting for structural breaks. The results show insignificant evidence of LRD in gold returns. However, very diminutive evidence is found for periods characterized by financial/economic shocks, with no significant detections for post-shock periods. Collectively, this is indicative that the gold market is less speculative, and hence could be somehow less risky for hedging and portfolio diversification.
H. Chulia-Soler (Helena); M.P.E. Martens (Martin); D.J.C. van Dijk (Dick)
2007-01-01
textabstractWe study the impact of FOMC announcements of Federal funds target rate decisions on individual stock prices at the intraday level. We find that the returns, volatilities and correlations of the S&P100 index constituents only respond to the surprise component in the announcement, as
Faff, R.; Kremmer, M.; Hodgson, A.
2004-01-01
This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCH-M model is used to analyse the impact of deregulation on the
Brajesh Kumar; Singh, Priyanka
2008-01-01
This paper is based on an empirical study of volatility, risk premium and seasonality in risk-return relation of the Indian stock and commodity markets. This investigation is conducted by means of the General Autoregressive Conditional Heteroscedasticity in the mean model (GARCH-in-Mean) introduced by Engle et al. (1987). A systematic approach to model volatility in returns is presented. Volatility clustering and asymmetric nature is examined for Indian stock and commodity markets. The risk-r...
International Nuclear Information System (INIS)
Ielpo, Florian; Sevi, Benoit
2013-09-01
Forecasting the density of returns is useful for many purposes in finance, such as risk management activities, portfolio choice or derivative security pricing. Existing methods to forecast the density of returns either use prices of the asset of interest or option prices on this same asset. The latter method needs to convert the risk-neutral estimate of the density into a physical measure, which is computationally cumbersome. In this paper, we take the view of a practitioner who observes the implied volatility under the form of an index, namely the recent OVX, to forecast the density of oil futures returns for horizons going from 1 to 60 days. Using the recent methodology in Maheu and McCurdy (2011) to compute density predictions, we compare the performance of time series models using implied volatility and either daily or intra-daily futures prices. Our results indicate that models based on implied volatility deliver significantly better density forecasts at all horizons, which is in line with numerous studies delivering the same evidence for volatility point forecast. (authors)
Bentes, Sonia R.
2016-02-01
This paper examines the long memory behavior in the volatility of gold returns using daily data for the period 1985-2009. We divided the whole sample into eight sub-samples in order to analyze the robustness and consistency of our results during different crisis periods. This constitutes our main contribution. We cover four major world crises, namely, (i) the US stock market crash of 1987; (ii) the Asian financial crisis of 1997; (iii) the World Trade Center terrorist attack of 2001 and finally, (iv) the sub-prime crisis of 2007, in order to investigate how the fractional integrated parameter of the FIGARCH(1, d,1) model evolves over time. Our findings are twofold: (i) there is evidence of long memory in the conditional variance over the whole sample period; (ii) when we consider the sub-sample analysis, the results show mixed evidence. Thus, for the 1985-2003 period the long memory parameter is positive and statistically significant in the pre-crisis sub-samples, and there is no evidence of long memory in the crisis sub-sample periods; however the reverse pattern occurs for the 2005-2009 period. This highlights the unique characteristics of the 2007 sub-prime crisis.
Directory of Open Access Journals (Sweden)
Vaishali S. Dhingra
2016-12-01
Full Text Available This paper investigates interactions of foreign institutional investments with market returns and market volatility in India using both static and dynamic models based on daily data. The findings of both models show foreign investors as positive feedback traders while investing in the Indian market, and as negative feedback traders during their withdrawal. Using the impulse response functions based on vector autoregression, we find strong evidence that foreign institutional investments destabilise the market, particularly with selling activities, as they significantly increase the volatility.
The intra- and interstate excess market return for low- and high-volatility level
Poon, Gary
2006-01-01
This paper provides a method to estimate the market risk premium that accounts for shifts in investment opportunities by explicitly modeling the volaiility level. This method decomposes the market risk premium into two components., the expected risk premium within the volatility state and risk premium associate with an unexpected change in volatility state. I find that the expected risk premium within the state is negatively related to the market volatility, which is consistent with empirical...
Holst, Niklas; Rønning, Harald
2017-01-01
Master's thesis in Finance This paper studies market timing based upon the level of the VIX and compares VIX based portfolio rotations with modern rebalancing practices. The thesis analyses the outcomes of the different rebalancing and trading strategies, and compare them through different performance measures. The study finds that on average, rebalancing strategies based on the level of the VIX does not have significant positive returns compared to the standard dynamic rebalancing scheme ...
International Nuclear Information System (INIS)
Soytas, Ugur; Oran, Adil
2011-01-01
This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung-Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, our results show that the Cheung-Ng procedure with the use of disaggregated stock index returns can uncover new information that went unnoticed with the traditional causality tests using aggregated market indices. (author)
Stock Return and Cash Flow Predictability: The Role of Volatility Risk
DEFF Research Database (Denmark)
Bollerslev, Tim; Xu, Lai; Zhou, Hao
risk premium positively forecast both short-horizon returns and dividend growth rates. We also confirm that dividend yield positively forecasts long-horizon returns, but that it cannot forecast dividend growth rates. Our equilibrium-based “structural” factor GARCH model permits much more accurate...
Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach
Piplack, J.; Beine, M.; Candelon, B.
2009-01-01
This paper analyzes common factors in the continuous volatility component, co-extreme and co-jump behavior of a sample of stock market indices. In order to identify those components in stock price processes during a trading day we use high-frequency data and techniques. We show that in most of the
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
D.E. Allen (David); A.K. Singh (Abhay); R.J. Powell (Robert); M.J. McAleer (Michael); J. Taylor (James); L. Thomas (Lyn)
2013-01-01
textabstractThe purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the
DEFF Research Database (Denmark)
Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per Houmann
arrival process. On applying our sequential test procedure to the thirty individual stocks in the Dow Jones Industrial Average index, the data suggest that it is important to allow for both time-varying diffusive volatility, jumps, and leverage effects in order to satisfactorily describe the daily stock...
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Paweł Sakowski
2016-10-01
Full Text Available This article aims to extend evaluation of the classic multifactor model of Carhart (1997 for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015. Our intention is to test several modifications of these models to take into account different dynamics of equity excess returns between emerging and developed equity indices. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach and the fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular market (which is a common approach in the literature, we check performance of these models for weekly data of 81 world investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a single country. Empirical evidence reveals important differences between results for classical models estimated on single stocks (either in international or US-only frameworks and models evaluated for equity indices. Additionally, we observe substantial discrepancies between results for developed countries and emerging markets. Finally, using weekly data for the last 15 years we illustrate the importance of model risk and data overfitting effects when drawing conclusions upon results of multifactor models.
Czech Academy of Sciences Publication Activity Database
Baruník, Jozef; Kukačka, Jiří
2015-01-01
Roč. 15, č. 6 (2015), s. 959-973 ISSN 1469-7688 R&D Projects: GA ČR GA402/09/0965; GA ČR GA13-32263S EU Projects: European Commission 612955 - FINMAP Institutional support: RVO:67985556 Keywords : Stochastic cusp catastrophe model * Realized volatility * Bifurcations * Stock market crash Subject RIV: AH - Economics Impact factor: 0.794, year: 2015 http://library.utia.cas.cz/separaty/2014/E/barunik-0434202.pdf
Kamstra, Mark J; Kramer, Lisa A; Levi, Maurice D
2013-02-01
In a 2011 reply to our 2010 comment in this journal, Berument and Dogen maintained their challenge to the existence of the negative daylight-saving effect in stock returns reported by Kamstra, Kramer, and Levi in 2000. Unfortunately, in their reply, Berument and Dogen ignored all of the points raised in the comment, failing even to cite the Kamstra, et al. comment. Berument and Dogen continued to use inappropriate estimation techniques, over-parameterized models, and low-power tests and perhaps most surprisingly even failed to replicate results they themselves reported in their previous paper, written by Berument, Dogen, and Onar in 2010. The findings reported by Berument and Dogen, as well as by Berument, Dogen, and Onar, are neither well-supported nor well-reasoned. We maintain our original objections to their analysis, highlight new serious empirical and theoretical problems, and emphasize that there remains statistically significant evidence of an economically large negative daylight-saving effect in U.S. stock returns. The issues raised in this rebuttal extend beyond the daylight-saving effect itself, touching on methodological points that arise more generally when deciding how to model financial returns data.
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María Sánchez
2016-11-01
Full Text Available The action consists of moving with small kicks a tin of cola refresh -without Brand-from a point of the city up to other one. During the path I avoid bollards, the slope differences between sidewalks, pedestrians, parked motorcycles, etc. Volatility wants to say exactly that the money is getting lost. That the money is losing by gentlemen and by ladies who are neither financial sharks, nor big businessmen… or similarly, but ingenuous people, as you or as me, who walk down the street.
Morales, Lucia
2007-01-01
This paper investigates the nature of volatility spillovers between stock returns and exchange rate changes for Greece, Spain and Portugal for the 1999-2006 period after the introduction of the Euro as well as the 1999-2001 and 2002-2003/May and 2003/June-2006 periods since the Euro has been introduced. We use an EGARCH model which takes into account whether bad news has the same impact on volatility as good news. We also investigate whether volatility spillovers between exchange rates and e...
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Thiago Fleith Otuki
2008-12-01
Full Text Available Este artigo procura, por meio de modelos da classe ARCH, evidências do efeito assimétrico na volatilidade das séries de retornos dos índices de ações da Argentina (Merval, Brasil (Ibovespa e México (Inmex durante o período de janeiro de 2000 a dezembro de 2005. Os resultados mostraram maior influência de eventos negativos do que positivos, de mesma intensidade, sobre a volatilidade das séries analisadas, e verificou-se que choques nas séries de retornos têm efeito por vários períodos. Esses resultados são semelhantes aos encontrados por Ceretta e Costa Jr. (1999 para o período da segunda metade da década de 1990, quando houve uma série de crises sistêmicas no mercado financeiro internacional. Esta comparação permite conjecturar que esse efeito assimétrico é prevalente em séries de índices de ações, independentemente de o período analisado ser conturbado ou não.This paper searched, for evidence of the asymmetric effect on volatility in the stock index return series of Argentina (Merval, Brazil (Ibovespa, and Mexico (Inmex from January 2000 to December 2005 using ARCH modeling. Results showed a greater influence of negative events on volatility than positive ones of the same intensity, and that shocks on the return series persisted for some time. This is similar to findings of Ceretta and Costa Jr. (1999 during the second half of the 1990 decade, a period with many financial crises. This comparison permits conjecture that this asymmetric effect does not depend upon whether the period in question was one with economic shocks or not.
The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities
Yuan-Ming Lee; Kuan-Min Wang
2010-01-01
This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to 2007). The data include Taiwan Stock Exchange Capitalization Weighted Stock Index and the U.S. Dow Jones Industrial Average index to proxy the impact of U.S. stock market on Taiwan’s stock market performanc...
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Dilip Kumar
2014-03-01
Full Text Available The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly observed during periods of market turbulence and crisis indicating the scope of portfolio diversification and hedging during these periods. We also estimate optimal weights, hedge ratios, and hedging effectiveness for the stock-gold portfolios. Our findings suggest that stock-gold portfolio provides better diversification benefits than stock portfolios.
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Nurul Huda
2015-04-01
Full Text Available Objective - Islamic banks are banks which its activities, both fund raising and funds distribution are on the basis of Islamic principles, namely buying and selling and profit sharing. Islamic banking is aimed at supporting the implementation of national development in order to improve justice, togetherness, and equitable distribution of welfare. In pursuit of supporting the implementation of national development, Islamic banking often faced stability problems of financing instruments being operated. In this case, it is measured by the gap between the actual rate of return and the expected rate of return. The individual actual RoR of this instrument will generate an expected rate of return. This raises the gap or difference between the actual rate of return and the expected rate of return of individual instruments, which in this case is called the abnormal rate of return. The stability of abnormal rate of return of individual instruments is certainly influenced by the stability of the expected rate of return. Expected rate of return has a volatility or fluctuation levels for each financing instrument. It is also a key element or material basis for the establishment of a variance of individual instruments. Variance in this case indicates the level of uncertainty of the rate of return. Individual variance is the origin of the instrument base for variance in the portfolio finance that further a portfolio analysis. So, this paper is going to analyze the level of expected RoR volatility as an initial step to see and predict the stability of the fluctuations in the rate of return of Indonesian Islamic financing instruments.Methods – Probability of Occurence, Expected Rate of Return (RoR and GARCH (Generalized Autoregressive Conditional Heteroscedasticity.Results - The expected RoR volatility of the murabaha and istishna financing instruments tend to be more volatile than expected RoR volatility of musharaka and qardh financing instruments
The influence of jumping risk and volatility risk on TAIEX option return
Lee, Wei-Long; Hsieh, Ching-Tang; Huang, Jui-Chan; Wu, Tzu-Jung
2017-06-01
Due to the low profits in recent years environmental, as well as the development of financial engineering that promote the derivatives trading Volume increased. Moreover, the fastest-growing of selected right and the lack of research about option risk. This study aim to explore the relationship between the risk and reward of selected right in Taiwan index. This study focus on the pricing the jump risk of selected right in Taiwan index. Using cross-sectional data as a 12-month study period, using the iteration method to research the effects of abnormal returns, the result shows that different risk factors of fluctuations affected the abnormal returns obviously will cause risk premium as well as the jump risk which consistent with the theory of behavioral finance. However, according to traditional finance theory, contrary to the results of this study consider that higher risks should generate higher-paying as well. According this study, the investors in behavioral finance in modern financial theory is not rational, and the trading behavior is non-random, moreover, the financial market is non-efficiency. Instead, the high risk low reward.
Riff, Andrew J; Ukwuani, Gift; Clapp, Ian; Movassaghi, Kamran; Kelly, D Michael; Nho, Shane J
2018-06-01
Since the inception of CrossFit in 2000, the popularity of high-intensity interval training (HIIT) in the United States has risen dramatically. While HIIT is a highly efficient exercise for weight loss and improved conditioning, some literature reports injuries in up to 34% of HIIT participants. We sought to evaluate the functional and sports-specific results of hip arthroscopic surgery in recreational HIIT participants. To evaluate patients' ability to return to HIIT after hip arthroscopic surgery for femoroacetabular impingement syndrome (FAIS). Case series; Level of evidence, 4. Consecutive patients with FAIS who had identified themselves as participating in HIIT and had undergone hip arthroscopic surgery for the treatment of FAIS by a single fellowship-trained surgeon between 2012 and 2015 were reviewed. Demographic data; preoperative physical examination findings; preoperative imaging results; preoperative patient-reported outcome (PRO) scores including the modified Harris Hip Score (mHHS), Hip Outcome Score-Activities of Daily Living (HOS-ADL), Hip Outcome Score-Sports-Specific Subscale (HOS-SSS), and visual analog scale (VAS) for pain; and postoperative examination and PRO scores at a minimum 2 years after surgery, including a HIIT-specific questionnaire, were assessed for all patients. Thirty-two patients (13 male, 19 female) with a mean age of 34.7 ± 6.9 years (range, 21-49 years) were identified with a minimum 24-month follow-up. Among these, 22 participated in CrossFit, 4 in Shred415, 3 in Orangetheory, and 3 in self-directed cross-training including plyometrics. Preoperatively, 14 patients had discontinued HIIT because of activity-related hip complaints, 17 patients had scaled back involvement in HIIT, and 1 patient maintained her baseline routine. Postoperatively, 28 of 32 patients (88%) returned to HIIT at a mean of 9.8 ± 5.7 months after surgery (range, 3-24 months); 96% returned to HIIT at the same level as or better than before the injury. Fear
International Nuclear Information System (INIS)
Lopatta, Kerstin; Kaspereit, Thomas
2014-01-01
This study analyzes how the stock market returns, the factor loadings from the Carhart (1997) 4-factor model, and the idiosyncratic volatility of shares in energy firms have been affected by the Fukushima nuclear accident. Unlike existing studies, which provide evidence of a wealth transfer from nuclear to renewable energy firms for specific countries, we use an international sample and investigate whether changes in the regulatory environment and the firm-specific commitment to nuclear and renewable energies correlate with the capital market's reactions to the Fukushima Daiichi accident. Our findings suggest that the more a firm relies on nuclear power, the more its share price declined after the accident. A commitment to renewable energies does not prevent declines in share prices but significantly helps to reduce the increase in market beta that is associated with this event. Nuclear energy firms domiciled in countries with a higher number of regulatory interventions that were triggered by the catastrophe have lower abnormal returns than those that are domiciled elsewhere. However, as a cross-sectional analysis reveals, a stronger commitment to nuclear power is the main driver for negative stock market returns. Furthermore, nuclear energy firms domiciled in countries with stronger regulatory shifts away from nuclear energy experience significant increases in market beta and the book-to-market equity factor loading according to the Carhart (1997) 4-factor model. We conclude that capital market participants are able to differentiate between the affectedness of firms with respect to their product portfolio. Energy firms could prevent increases in market beta due to catastrophes such as the Fukushima Daiichi accident by shifting some of their energy production from nuclear to renewable or other sources. - Highlights: • Abnormal stock returns of nuclear energy firms around Fukushima Daiichi depend on the mix of their energy portfolio. • Higher commitment to
Peterson, B.; Hummerick, M.; Roberts, M.; Krummins, V.; Kish, A.; Garland, J.; Maxwell, S.; Mills, A.
In addition to the mass and energy costs associated with bioregenerative systems for advanced life support, the storage and processing of waste on spacecraft requires both atmospheric and biological management. Risks to crew health may arise from the presence of potential human pathogens in waste or from decay processes during waste storage and/or processing. This study reports on the permanent gas, trace volatile organic and microbiological analyses of crew refuse returned from shuttle missions STS-105, 109 and 110. The research objective is to characterize the biological stability of the waste stream, to assess the risks associated with its storage, and to provide baseline measures for the evaluation of waste processing technologies. Microbiological samples were collected from packaging material, food waste, bathroom waste, and bulk liquid collected from the volume F waste container. The number of culturable bacteria and total bacteria were determined by plating on R2A media and by Acridine Orange direct count, respectively. Samples of the trash were analyzed for the presence of fecal and total coliforms and other human-associated bacteria. Dry and ash weights were determined to estimate both water and organic content of the materials. The aerobic and anaerobic bio-stability of stored waste was determined by on-line monitoring of CO2 and by laboratory analysis of off-gas samples for hydrogen sulfide and methane. Volatile organic compounds and permanent gases were analyzed using EPA method TO15 with gas chromatography/mass spectrometry and by gas chromatography with selective detectors . This study establishes a baseline measure of waste composition, labile organics, and microbial load for this material.
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Jalal Golmohammadi
2015-12-01
Full Text Available This paper presents a study to measure the effects of return on investment, sales growth rate, volatility investment, cash flow and structure of institutional shareholders on the ratio of debt to equities. The study selects 102 firms listed on Tehran Stock Exchange and, using regression technique with Panel data, examines five different hypotheses over the period 2008-2012. The results indicate that there was a negative and meaningful relationship between return of investment and the ratio of debt to equities and a positive and meaningful relationship between sales growth and the ratio of debt to equities. Moreover, there were positive and meaningful relationships between volatility of investment as well as cash flow and the ratio of debt to equities. Finally, the survey has indicated that there was a negative and meaningful relationship between the structure of institutional shareholders and the ratio of debt to equities.
Yarovaya, Larisa; Brzeszczynski, Janusz; Lau, Marco Chi Keung
2016-01-01
We provide empirical evidence on the patterns of intra- and inter-regional transmission of information across 10 developed and 11 emerging markets in Asia, the Americas, Europe and Africa using both stock indices and stock index futures. The main transmission channels are examined in the period from 2005 to 2014 through the analysis of return and volatility spillovers around the most recent crises based on the generalized vector autoregressive framework. Our findings demonstrate that markets ...
Chelcy R. Ford; Emily S. Minor; Gordon A. Fox
2010-01-01
We investigated the effect of fire and fire frequency on stand structure and longleaf pine (Pinus palustris P. Mill.) growth and population demography in an experimental research area in a southwest Florida sandhill community. Data were collected from replicated plots that had prescribed fire-return intervals of 1, 2, 5, or 7 years or were left...
Xia, Zhiyuan; Zhai, Xiandun; Liu, Beibei; Mo, Yaonan
2016-11-01
Precise measurement of cadaver decomposition rate is the basis to accurate post-mortem interval (PMI) estimation. There are many approaches explored in recent years, however, it is still unsolved completely. Total volatile basic nitrogen (TVB-N), which is an important index to predict meat freshness and shelf life in food science, could serve as an indicator for measuring PMI associated decomposition rate of cadavers. The aim of this work was to establish a practical method to determine TVB-N in cadaver soft tissues (mainly skeletal muscle) for measuring decomposition rate. Determination of TVB-N in the simulation and animal experiments was conducted by steam distillation and conductometric titration using Kjeldahl distillation unit and conductivity meter. In simulation, standard concentrations of ammonium were used as TVB analogies, TVB-N contents were determined and the recovery rates of nitrogen were calculated. In animal experiment, TVB-N in skeletal muscle of forty-two rats was determined at different PMIs for 312 h at 24 °C ± 1 °C. The relationship between PMI and TVB-N was investigated also. The method showed high precision with 99%-100% recovery rates. TVB-N in skeletal muscle changed significantly with PMI especially after 24 h, and the data fit well to y = 3.35 E -5 x 3 -2.17 E -2 x 2 +6.13x-85.82 (adj. R 2 = 0.985). EC i (initial electrical conductivity in the samples just before titration) had positive linear relationship to final measured TVB-N values, y = 1.98x+16.16 (adj. R 2 = 0.985). The overall results demonstrated that the method is accurate, rapid and flexible, which could be expected as a basic technique for measuring decomposition rate in later PMI-estimation researches. Further studies are needed to validate our findings. Copyright © 2016 Elsevier Ltd and Faculty of Forensic and Legal Medicine. All rights reserved.
Asymmetric Realized Volatility Risk
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David E. Allen
2014-06-01
Full Text Available In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are nearly Gaussian, this unpredictability brings considerably more uncertainty to the empirically relevant ex ante distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of the empirical advantages of the model using data on the S&P 500 index and eight other indexes and stocks.
Chen, Cathy W. S.; Yang, Ming Jing; Gerlach, Richard; Jim Lo, H.
2006-07-01
In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the conditional mean and variance equations simultaneously by employing two threshold variables, to analyze the stock markets’ reactions to different types of information (good/bad news) generated from the domestic markets and the US stock market. By applying the four-regime DTGARCH model, this study finds that the interaction between the information of domestic and US stock markets leads to the asymmetric reactions of stock returns and their variability. In addition, this research also finds that the positive autocorrelation reported in the previous studies of financial markets may in fact be mis-specified, and actually due to the local market's positive response to the US stock market.
Okazaki, Ryuji; Sawada, Hirotaka; Yamanouchi, Shinji; Tachibana, Shogo; Miura, Yayoi N.; Sakamoto, Kanako; Takano, Yoshinori; Abe, Masanao; Itoh, Shoichi; Yamada, Keita; Yabuta, Hikaru; Okamoto, Chisato; Yano, Hajime; Noguchi, Takaaki; Nakamura, Tomoki; Nagao, Keisuke
2017-07-01
The spacecraft Hayabusa2 was launched on December 3, 2014, to collect and return samples from a C-type asteroid, 162173 Ryugu (provisional designation, 1999 JU3). It is expected that the samples collected contain organic matter and water-bearing minerals and have key information to elucidate the origin and history of the Solar System and the evolution of bio-related organics prior to delivery to the early Earth. In order to obtain samples with volatile species without terrestrial contamination, based on lessons learned from the Hayabusa mission, the sample catcher and container of Hayabusa2 were refined from those used in Hayabusa. The improvements include (1) a mirror finish of the inner wall surface of the sample catcher and the container, (2) adoption of an aluminum metal sealing system, and (3) addition of a gas-sampling interface for gas collection and evacuation. The former two improvements were made to limit contamination of the samples by terrestrial atmosphere below 1 Pa after the container is sealed. The gas-sampling interface will be used to promptly collect volatile species released from the samples in the sample container after sealing of the container. These improvements maintain the value of the returned samples.
D.E. Allen (David); M.J. McAleer (Michael); M. Scharth (Marcel)
2013-01-01
textabstractIn this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive.
Brown, Angus M
2010-04-01
The objective of the method described in this paper is to develop a spreadsheet template for the purpose of comparing multiple sample means. An initial analysis of variance (ANOVA) test on the data returns F--the test statistic. If F is larger than the critical F value drawn from the F distribution at the appropriate degrees of freedom, convention dictates rejection of the null hypothesis and allows subsequent multiple comparison testing to determine where the inequalities between the sample means lie. A variety of multiple comparison methods are described that return the 95% confidence intervals for differences between means using an inclusive pairwise comparison of the sample means. 2009 Elsevier Ireland Ltd. All rights reserved.
DEFF Research Database (Denmark)
Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
The realized volatility of financial returns is characterized by persistence and occurrence of unpreditable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification, the condi......The realized volatility of financial returns is characterized by persistence and occurrence of unpreditable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification...... estimate alternative specifications of the model using a set of daily bipower measures for 7 stock indexes and 16 individual NYSE stocks. The estimates of the jump component confirm that the probability of jumps dramatically increases during the financial crisis. Compared to other realized volatility...... models, the introduction of the jump component provides a sensible improvement in the fit, as well as for in-sample and out-of-sample volatility tail forecasts....
Essays on nonparametric econometrics of stochastic volatility
Zu, Y.
2012-01-01
Volatility is a concept that describes the variation of financial returns. Measuring and modelling volatility dynamics is an important aspect of financial econometrics. This thesis is concerned with nonparametric approaches to volatility measurement and volatility model validation.
Directory of Open Access Journals (Sweden)
Arfaoui Mongi
2015-06-01
Full Text Available This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa countries for the February 26, 1999 to June 30, 2014 period. The analysis has been performed through three competing models: the VAR-CCC-GARCH model of Bollerslev [1990]; the VAR-BEKK-GARCH model of Engle and Kroner [1995]; and the VAR-DCC-GARCH model of Engle [2002]. Our findings confirm that both markets are interdependent and corroborate the stock and flow oriented approaches. We also find that, comparing to optimal weights, hedge ratios are typically low, denoting that hedging efficiency is quite good. Our estimation of hedging efficiency suggests that incorporating foreign exchange in a full stock, unhedged portfolio increases the risk-adjusted return while reducing its variance. (We note here that the forex market is overweighted for both portfolio allocations and hedging strategies. Moreover, this conclusion holds for all countries in all three models.
Lloyd, John D.; Slater, Gary L.; Snyder, James R.
2012-01-01
Standing dead trees, or snags, are an important habitat element for many animal species. In many ecosystems, fire is a primary driver of snag population dynamics because it can both create and consume snags. The objective of this study was to examine how variation in two key components of the fire regime—fire-return interval and season of burn—affected population dynamics of snags. Using a factorial design, we exposed 1 ha plots, located within larger burn units in a south Florida slash pine (Pinus elliottii var. densa Little and Dorman) forest, to prescribed fire applied at two intervals (approximately 3-year intervals vs. approximately 6-year intervals) and during two seasons (wet season vs. dry season) over a 12- to 13-year period. We found no consistent effect of fire season or frequency on the density of lightly to moderately decayed or heavily decayed snags, suggesting that variation in these elements of the fire regime at the scale we considered is relatively unimportant in the dynamics of snag populations. However, our confidence in these findings is limited by small sample sizes, potentially confounding effects of unmeasured variation in fire behavior and effects (e.g., intensity, severity, synergy with drought cycles) and wide variation in responses within a treatment level. The generalizing of our findings is also limited by the narrow range of treatment levels considered. Future experiments incorporating a wider range of fire regimes and directly quantifying fire intensity would prove useful in identifying more clearly the role of fire in shaping the dynamics of snag populations.
Asymmetric Realized Volatility Risk
D.E. Allen (David); M.J. McAleer (Michael); M. Scharth (Marcel)
2014-01-01
markdownabstract__Abstract__ In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized
DEFF Research Database (Denmark)
Bollerslev, Tim; Sizova, Natalia; Tauchen, George
Stock market volatility clusters in time, carries a risk premium, is fractionally inte- grated, and exhibits asymmetric leverage effects relative to returns. This paper develops a first internally consistent equilibrium based explanation for these longstanding empirical facts. The model is cast i......, and the dynamic cross-correlations of the volatility measures with the returns calculated from actual high-frequency intra-day data on the S&P 500 aggregate market and VIX volatility indexes....
Elkjær, Karina; Labouriau, Rodrigo; Ancker, Marie-Louise; Gustafsson, Hans; Callesen, Henrik
2013-12-01
A detailed study of 398,237 lactations of Danish Holstein dairy cows was undertaken. The objective was to investigate the information gained by evaluating vaginal discharge in cows from 5 to 19 days post-partum (p.p.) using an ordinal scale from 0 to 9. The study focused on the interval from calving to first insemination (CFI) and the non-return rate 56 days after first insemination (NR56), adjusted for the confounders milk production and body condition score (BCS). For the analyses, BCS was evaluated on the same day that the uterine score was made. Milk production was defined as test-day milk yield in the first month p.p. The study showed that the evaluation of vaginal discharge according to this score system permitted ranking of cows according to CFI and NR56, i.e. an increasing uterine score was associated with a significantly longer time from calving to first insemination and significantly reduced the probability of success of the first insemination. Reproductive success was already affected if the uterine score had reached 4 (i.e. before the discharge smelled abnormally). The negative effect on CFI and NR56 increased as the uterine score increased, which suggested that the uterine scoring system was a useful guide to dairy producers. Copyright © 2013 Elsevier Ltd. All rights reserved.
Alternative Asymmetric Stochastic Volatility Models
M. Asai (Manabu); M.J. McAleer (Michael)
2010-01-01
textabstractThe stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is
Volatility Exposure for Strategic Asset Allocation
Briere, Marie; Burgues, Alexandre; Signori, Ombretta
2008-01-01
This paper examines the advantages of incorporating strategic exposure to equity volatility into the investment-opportunity set of a long-term equity investor. We consider two standard volatility investments: implied volatility and volatility risk premium strategies. To calibrate and assess the risk/return profile of the portfolio, we present an analytical framework offering pragmatic solutions for long-term investors seeking exposure to volatility. The benefit of volatility exposure for a co...
Option Valuation with Observable Volatility and Jump Dynamics
DEFF Research Database (Denmark)
Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...... for straightforward filtering and estimation of the model. Our model belongs to the affine class enabling us to derive the conditional characteristic function so that option values can be computed rapidly without simulation. When estimated on S&P500 index options and returns the new model performs well compared...
Yu, Honghai; Fang, Libing; Sun, Boyang
2018-01-01
We investigate how Global Economic Policy Uncertainty (GEPU) drives the long-run components of volatilities and correlations in crude oil and U.S. industry-level stock markets. Using the modified generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) and dynamic conditional correlation mixed data sampling (DCC-MIDAS) specifications, we find that GEPU is positively related to the long-run volatility of Financials and Consumer Discretionary industries; however, it is negatively related to Information Technology, Materials, Telecommunication Services and Energy. Unlike the mixed role of GEPU in the long-run volatilities, the long-run correlations are all positively related to GEPU across the industries. Additionally, the rankings of the correlations of Energy and Materials are time-invariant and classified as high, with the little exception of the latter. The Consumer Staples industry is time-invariant in the low-ranking group. Our results are helpful to policy makers and investors with long-term concerns.
Time-Varying Periodicity in Intraday Volatility
DEFF Research Database (Denmark)
Andersen, Torben Gustav; Thyrsgaard, Martin; Todorov, Viktor
We develop a nonparametric test for deciding whether return volatility exhibits time-varying intraday periodicity using a long time-series of high-frequency data. Our null hypothesis, commonly adopted in work on volatility modeling, is that volatility follows a stationary process combined...... with a constant time-of-day periodic component. We first construct time-of-day volatility estimates and studentize the high-frequency returns with these periodic components. If the intraday volatility periodicity is invariant over time, then the distribution of the studentized returns should be identical across...... with estimating volatility moments through their sample counterparts. Critical values are computed via easy-to-implement simulation. In an empirical application to S&P 500 index returns, we find strong evidence for variation in the intraday volatility pattern driven in part by the current level of volatility...
Cifarelli, giulio
2002-01-01
Under rather general conditions Black - Scholes implied volatilities from at-the-money options appropriately quantify, in each period, the market expectations of the average volatility of the return of the underlying asset until contract expiration. The efficiency of these expectation estimates is investigated here, for options on two major short term interest rate futures contracts traded at the LIFFE, using a long memory framework. Over the 1993 – 1997 time interval the performance of im...
Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael
2017-01-01
markdownabstractThe paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using t...
Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
J. Chen (Jinghui); M. Kobayashi (Masahito); M.J. McAleer (Michael)
2017-01-01
markdownabstractThe paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The
Volatility Mean Reversion and the Market Price of Volatility Risk
Boswijk, H.P.
2001-01-01
This paper analyzes sources of derivative pricing errors in a stochastic volatility model estimated on stock return data. It is shown that such pricing errors may reflect the existence of a market price of volatility risk, but also may be caused by estimation errors due to a slow mean reversion in
Idiosyncratic Volatility Puzzle
DEFF Research Database (Denmark)
Aslanidis, Nektarios; Christiansen, Charlotte; Lambertides, Neophytos
from a large pool of macroeconomic and Önancial variables. Cleaning for macro-Önance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the e§ects from macro-Önance factors are economically strong...
Directory of Open Access Journals (Sweden)
Cüneyt AKAR
2015-06-01
Full Text Available This paper aims to determine the relationship between stock returns and volatility of liquidity in Turkish Stock Market. It is also investigated whether various liquidity measures sort the stocks in the same way according to their liquidities. The data used in the study contains the closing prices, trading volumes and free floating of the stocks that are included in Borsa Istanbul 100 Index (BIST100 and covers the period from 28.02.2011 to 18.11.2014. Generalized Autoregressive Conditional Heteroscedasticity (GARCH and Autoregressive Moving Average models (ARMA are used to perform empirical analysis. According to the results, it can not be determined the clear significant relationship between stock returns and volatility of liquidity. Results also show that while stock size and Amihud illiquidity criteria sort the stocks in the same way, stock return standard deviation criterion produces different ranking.
The economic value of realized volatility
DEFF Research Database (Denmark)
Christoffersen, Peter; Feunou, Bruno; Jacobs, Kris
2014-01-01
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so, we ...
Consistent ranking of volatility models
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Lunde, Asger
2006-01-01
We show that the empirical ranking of volatility models can be inconsistent for the true ranking if the evaluation is based on a proxy for the population measure of volatility. For example, the substitution of a squared return for the conditional variance in the evaluation of ARCH-type models can...... variance in out-of-sample evaluations rather than the squared return. We derive the theoretical results in a general framework that is not specific to the comparison of volatility models. Similar problems can arise in comparisons of forecasting models whenever the predicted variable is a latent variable....
A nonparametric approach to forecasting realized volatility
Adam Clements; Ralf Becker
2009-01-01
A well developed literature exists in relation to modeling and forecasting asset return volatility. Much of this relate to the development of time series models of volatility. This paper proposes an alternative method for forecasting volatility that does not involve such a model. Under this approach a forecast is a weighted average of historical volatility. The greatest weight is given to periods that exhibit the most similar market conditions to the time at which the forecast is being formed...
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to r...
DEFF Research Database (Denmark)
Dias, Gustavo Fruet; Scherrer, Cristina; Papailias, Fotis
The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show...... that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity......). Finally, we compute volatility discovery for 30 actively traded stocks in the U.S. and report that Nyse and Arca dominate Nasdaq....
Cüneyt AKAR
2015-01-01
This paper aims to determine the relationship between stock returns and volatility of liquidity in Turkish Stock Market. It is also investigated whether various liquidity measures sort the stocks in the same way according to their liquidities. The data used in the study contains the closing prices, trading volumes and free floating of the stocks that are included in Borsa Istanbul 100 Index (BIST100) and covers the period from 28.02.2011 to 18.11.2014. Generalized Autoregressive ...
Silva, A. Christian; Prange, Richard E.
2007-03-01
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular, and as an example, we were able to identify mean reversion effect in our portfolio. Finally, we briefly discuss the potential practical effect of the virtual volatility on an investor asset allocation strategy.
International Nuclear Information System (INIS)
Beahm, E.C.; Shockley, W.E.
1984-01-01
The ultimate aim of this program is to couple experimental aqueous iodine volatilities to a fission product release model. Iodine partition coefficients, for inorganic iodine, have been measured during hydrolysis and radiolysis. The hydrolysis experiments have illustrated the importance of reaction time on iodine volatility. However, radiolysis effects can override hydrolysis in determining iodine volatility. In addition, silver metal in radiolysis samples can react to form silver iodide accompanied by a decrease in iodine volatility. Experimental data are now being coupled to an iodine transport and release model that was developed in the Federal Republic of Germany
Parallel Prediction of Stock Volatility
Directory of Open Access Journals (Sweden)
Priscilla Jenq
2017-10-01
Full Text Available Volatility is a measurement of the risk of financial products. A stock will hit new highs and lows over time and if these highs and lows fluctuate wildly, then it is considered a high volatile stock. Such a stock is considered riskier than a stock whose volatility is low. Although highly volatile stocks are riskier, the returns that they generate for investors can be quite high. Of course, with a riskier stock also comes the chance of losing money and yielding negative returns. In this project, we will use historic stock data to help us forecast volatility. Since the financial industry usually uses S&P 500 as the indicator of the market, we will use S&P 500 as a benchmark to compute the risk. We will also use artificial neural networks as a tool to predict volatilities for a specific time frame that will be set when we configure this neural network. There have been reports that neural networks with different numbers of layers and different numbers of hidden nodes may generate varying results. In fact, we may be able to find the best configuration of a neural network to compute volatilities. We will implement this system using the parallel approach. The system can be used as a tool for investors to allocating and hedging assets.
Global Variance Risk Premium and Forex Return Predictability
Aloosh, Arash
2014-01-01
In a long-run risk model with stochastic volatility and frictionless markets, I express expected forex returns as a function of consumption growth variances and stock variance risk premiums (VRPs)—the difference between the risk-neutral and statistical expectations of market return variation. This provides a motivation for using the forward-looking information available in stock market volatility indices to predict forex returns. Empirically, I find that stock VRPs predict forex returns at a ...
DEFF Research Database (Denmark)
Casas, Isabel; Gijbels, Irène
2012-01-01
The objective of this paper is to introduce the break-preserving local linear (BPLL) estimator for the estimation of unstable volatility functions for independent and asymptotically independent processes. Breaks in the structure of the conditional mean and/or the volatility functions are common...... in Finance. Nonparametric estimators are well suited for these events due to the flexibility of their functional form and their good asymptotic properties. However, the local polynomial kernel estimators are not consistent at points where the volatility function has a break. The estimator presented...
The predictive content of CBOE crude oil volatility index
Chen, Hongtao; Liu, Li; Li, Xiaolei
2018-02-01
Volatility forecasting is an important issue in the area of econophysics. The information content of implied volatility for financial return volatility has been well documented in the literature but very few studies focus on oil volatility. In this paper, we show that the CBOE crude oil volatility index (OVX) has predictive ability for spot volatility of WTI and Brent oil returns, from both in-sample and out-of-sample perspectives. Including OVX-based implied volatility in GARCH-type volatility models can improve forecasting accuracy most of time. The predictability from OVX to spot volatility is also found for longer forecasting horizons of 5 days and 20 days. The simple GARCH(1,1) and fractionally integrated GARCH with OVX performs significantly better than the other OVX models and all 6 univariate GARCH-type models without OVX. Robustness test results suggest that OVX provides different information from as short-term interest rate.
Multiscaling and clustering of volatility
Pasquini, Michele; Serva, Maurizio
1999-07-01
The dynamics of prices in stock markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, while the distribution of returns of the most important indices is known to be a truncated Lévy, the behaviour of volatility correlations is still poorly understood. What is well known is that absolute returns have memory on a long time range, this phenomenon is known in financial literature as clustering of volatility. In this paper we show that volatility correlations are power laws with a non-unique scaling exponent. This kind of multiscale phenomenology is known to be relevant in fully developed turbulence and in disordered systems and it is pointed out here for the first time for a financial series. In our study we consider the New York Stock Exchange (NYSE) daily index, from January 1966 to June 1998, for a total of 8180 working days.
Volatility modeling for IDR exchange rate through APARCH model with student-t distribution
Nugroho, Didit Budi; Susanto, Bambang
2017-08-01
The aim of this study is to empirically investigate the performance of APARCH(1,1) volatility model with the Student-t error distribution on five foreign currency selling rates to Indonesian rupiah (IDR), including the Swiss franc (CHF), the Euro (EUR), the British pound (GBP), Japanese yen (JPY), and the US dollar (USD). Six years daily closing rates over the period of January 2010 to December 2016 for a total number of 1722 observations have analysed. The Bayesian inference using the efficient independence chain Metropolis-Hastings and adaptive random walk Metropolis methods in the Markov chain Monte Carlo (MCMC) scheme has been applied to estimate the parameters of model. According to the DIC criterion, this study has found that the APARCH(1,1) model under Student-t distribution is a better fit than the model under normal distribution for any observed rate return series. The 95% highest posterior density interval suggested the APARCH models to model the IDR/JPY and IDR/USD volatilities. In particular, the IDR/JPY and IDR/USD data, respectively, have significant negative and positive leverage effect in the rate returns. Meanwhile, the optimal power coefficient of volatility has been found to be statistically different from 2 in adopting all rate return series, save the IDR/EUR rate return series.
Takaishi, Tetsuya
2018-06-01
The realized stochastic volatility model has been introduced to estimate more accurate volatility by using both daily returns and realized volatility. The main advantage of the model is that no special bias-correction factor for the realized volatility is required a priori. Instead, the model introduces a bias-correction parameter responsible for the bias hidden in realized volatility. We empirically investigate the bias-correction parameter for realized volatilities calculated at various sampling frequencies for six stocks on the Tokyo Stock Exchange, and then show that the dynamic behavior of the bias-correction parameter as a function of sampling frequency is qualitatively similar to that of the Hansen-Lunde bias-correction factor although their values are substantially different. Under the stochastic diffusion assumption of the return dynamics, we investigate the accuracy of estimated volatilities by examining the standardized returns. We find that while the moments of the standardized returns from low-frequency realized volatilities are consistent with the expectation from the Gaussian variables, the deviation from the expectation becomes considerably large at high frequencies. This indicates that the realized stochastic volatility model itself cannot completely remove bias at high frequencies.
Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm
International Nuclear Information System (INIS)
Takaishi, Tetsuya
2013-01-01
The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables. We perform the HMC simulations of the SV model for two liquid stock returns traded on the Tokyo Stock Exchange and measure the volatilities of those stock returns. Then we calculate the accuracy of the volatility measurement using the realized volatility as a proxy of the true volatility and compare the SV model with the GARCH model which is one of other volatility models. Using the accuracy calculated with the realized volatility we find that empirically the SV model performs better than the GARCH model.
The Risk Return Relationship: Evidence from Index Return and Realised Variance Series
Minxian Yang
2014-01-01
The risk return relationship is analysed in bivariate models for return and realised variance(RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the empirical risk return relationship is primarily shaped by two important data features: the negative contemporaneous correlation betw...
The world price of jump and volatility risk
Driessen, J.J.A.G.; Maenhout, P.
2013-01-01
We study international integration of markets for jump and volatility risk, using index option data for the main global markets. To explain the cross-section of expected option returns we focus on return-based multi-factor models. For each market separately, we provide evidence that volatility and
International Nuclear Information System (INIS)
Duffie, D.
1999-01-01
This chapter with 58 references reviews the modelling and empirical behaviour of volatility in energy prices. Constant volatility and stochastic volatility are discussed. Markovian models of stochastic volatility are described and the different classes of Markovian stochastic volatility model are examined including auto-regressive volatility, option implied and forecasted volatility, Garch volatility, Egarch volatility, multivariate Garch volatility, and stochastic volatility and dynamic hedging policies. Other volatility models and option hedging are considered. The performance of several stochastic volatility models as applied to heating oil, light oil, natural gas, electricity and light crude oil are compared
Volatility Forecast in Crises and Expansions
Directory of Open Access Journals (Sweden)
Sergii Pypko
2015-08-01
Full Text Available We build a discrete-time non-linear model for volatility forecasting purposes. This model belongs to the class of threshold-autoregressive models, where changes in regimes are governed by past returns. The ability to capture changes in volatility regimes and using more accurate volatility measures allow outperforming other benchmark models, such as linear heterogeneous autoregressive model and GARCH specifications. Finally, we show how to derive closed-form expression for multiple-step-ahead forecasting by exploiting information about the conditional distribution of returns.
Stochastic volatility and stochastic leverage
DEFF Research Database (Denmark)
Veraart, Almut; Veraart, Luitgard A. M.
This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...
Asymmetry Effects of shocks in Chinese Stock Markets Volatility
DEFF Research Database (Denmark)
Hou, Ai Jun
2013-01-01
The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modelling return volatility with the parametric GARCH family models. This paper therefore applies...... a generalized additive nonparametric smoothing technique to examine the volatility of the Chinese stock markets. The empirical results indicate that an asymmetric effect of negative news exists in the Chinese stock markets. Furthermore, compared with other parametric models, the generalized additive...
Stochastic volatility of volatility in continuous time
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole; Veraart, Almut
This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility...... of volatility can be defined both non-parametrically, where we link it to the quadratic variation of the stochastic variance process, and parametrically, where we propose two new SV models which allow for stochastic volatility of volatility. In addition, we show that volatility of volatility can be estimated...
Comet coma sample return instrument
Albee, A. L.; Brownlee, Don E.; Burnett, Donald S.; Tsou, Peter; Uesugi, K. T.
1994-01-01
The sample collection technology and instrument concept for the Sample of Comet Coma Earth Return Mission (SOCCER) are described. The scientific goals of this Flyby Sample Return are to return to coma dust and volatile samples from a known comet source, which will permit accurate elemental and isotopic measurements for thousands of individual solid particles and volatiles, detailed analysis of the dust structure, morphology, and mineralogy of the intact samples, and identification of the biogenic elements or compounds in the solid and volatile samples. Having these intact samples, morphologic, petrographic, and phase structural features can be determined. Information on dust particle size, shape, and density can be ascertained by analyzing penetration holes and tracks in the capture medium. Time and spatial data of dust capture will provide understanding of the flux dynamics of the coma and the jets. Additional information will include the identification of cosmic ray tracks in the cometary grains, which can provide a particle's process history and perhaps even the age of the comet. The measurements will be made with the same equipment used for studying micrometeorites for decades past; hence, the results can be directly compared without extrapolation or modification. The data will provide a powerful and direct technique for comparing the cometary samples with all known types of meteorites and interplanetary dust. This sample collection system will provide the first sample return from a specifically identified primitive body and will allow, for the first time, a direct method of matching meteoritic materials captured on Earth with known parent bodies.
Forecasting Exchange Rate Volatility in the Presence of Jumps
DEFF Research Database (Denmark)
Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniquesto compute realized return volatility and its separate continuous sample path and jumpcomponents, and measures based on prices...... of exchange rate futures options, allowingcalculation of option implied volatility. We find that implied volatility is an informationallyeﬃcient but biased forecast of future realized exchange rate volatility. Furthermore,we show that log-normality is an even better distributional approximation...... for impliedvolatility than for realized volatility in this market. Finally, we show that the jump componentof future realized exchange rate volatility is to some extent predictable, and thatoption implied volatility is the dominant forecast of the future jump component....
Kirti AREKAR; Rinku JAIN
2017-01-01
The stock market volatility is depends on three major features, complete volatility, volatility fluctuations, and volatility attention and they are calculate by the statistical techniques. Comparative analysis of market volatility for two major index i.e. banking & IT sector in Bombay stock exchange (BSE) by using average decline model. The average degeneration process in volatility has being used after very high and low stock returns. The results of this study explain significant decline in...
Stock Market Volatility: Examining North America, Europe and Asia
Gamini Premaratne; Lakshmi Bala
2004-01-01
An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on risk averse investors. Using daily returns from 1992 to 2002, we investigate volatility co-movement between the Singapore stock market and the markets of US, UK, Hong Kong and Japan. In order to gauge...
Directory of Open Access Journals (Sweden)
Kirti AREKAR
2017-12-01
Full Text Available The stock market volatility is depends on three major features, complete volatility, volatility fluctuations, and volatility attention and they are calculate by the statistical techniques. Comparative analysis of market volatility for two major index i.e. banking & IT sector in Bombay stock exchange (BSE by using average decline model. The average degeneration process in volatility has being used after very high and low stock returns. The results of this study explain significant decline in volatility fluctuations, attention, and level between epochs of pre and post particularly high stock returns.
Directory of Open Access Journals (Sweden)
Kai R. Wenger
2018-03-01
Full Text Available The focus of the volatility literature on forecasting and the predominance of theconceptually simpler HAR model over long memory stochastic volatility models has led to the factthat the actual degree of memory estimates has rarely been considered. Estimates in the literaturerange roughly between 0.4 and 0.6 - that is from the higher stationary to the lower non-stationaryregion. This difference, however, has important practical implications - such as the existence or nonexistenceof the fourth moment of the return distribution. Inference on the memory order is complicatedby the presence of measurement error in realized volatility and the potential of spurious long memory.In this paper we provide a comprehensive analysis of the memory in variances of international stockindices and exchange rates. On the one hand, we find that the variance of exchange rates is subject tospurious long memory and the true memory parameter is in the higher stationary range. Stock indexvariances, on the other hand, are free of low frequency contaminations and the memory is in the lowernon-stationary range. These results are obtained using state of the art local Whittle methods that allowconsistent estimation in presence of perturbations or low frequency contaminations.
'EMU equity markets' return variance and spill over effects from short-term interest rates
DEFF Research Database (Denmark)
Hou, Ai Jun
2013-01-01
), stock returns have a negative relationship with the volatility, and the volatility process responds asymmetrically to shocks to equity returns, especially to bad news. The other regime (a bull market regime) appears to be a high mean, low variance state, within which the returns have a positive...
Sovereign Risk and Currently Returns
DEFF Research Database (Denmark)
Della Corte, Pasquale; Sarno, Lucio; Schmeling, Maik
We empirically investigate the relation between sovereign risk and exchange rates for a broad set of currencies. An increase in the credit default swap (CDS) spread of a country is accompanied by a significant depreciation of the exchange rate. More generally, CDS spread changes have substantial...... explanatory power for currency returns which is largely driven by shocks to global credit risk. Consistent with the notion that sovereign risk is priced, we find that a country's exposure to global credit risk forecasts excess returns to trading exchange rates as well as to trading on the volatility, skewness...
Sovereign Risk and Currency Returns
DEFF Research Database (Denmark)
Della Corte, Pasquale; Sarno, Lucio; Schmeling, Maik
We empirically investigate the relation between sovereign risk and exchange rates for a broad set of currencies. An increase in the credit default swap (CDS) spread of a country is accompanied by a significant depreciation of the exchange rate. More generally, CDS spread changes have substantial...... explanatory power for currency returns which is largely driven by shocks to global credit risk. Consistent with the notion that sovereign risk is priced, we find that a country's exposure to global credit risk forecasts excess returns to trading exchange rates as well as to trading on the volatility, skewness...
Directory of Open Access Journals (Sweden)
Serpil TÜRKYILMAZ
2014-04-01
Full Text Available ÖZ: Çalışma ARFIMA-FIGARCH modelleri yardımıyla Türkiye hisse senedi piyasası getirilerinde ikili uzun hafıza özelliğinin varlığını incelemekte dolayısıyla zayıf formda etkin piyasa hipotezini test etmektedir. Bu amaçla kullanılan veri 2010-2013 dönemi Borsa İstanbul (BIST için günlük hisse senedi kapanış fiyatlarını içermektedir. Öncelikle ortalama ve oynaklıktaki uzun hafızanın varlığı ayrı olarak incelenmiştir. ARFIMA modeli sonuçları BIST getirileri için ortalamada uzun hafıza özelliği gösterirken, getiri oynaklıklarındaki uzun hafızanın varlığı için FIGARCH modeli de istatistiksel olarak anlamlı sonuçlar vermiştir. İkinci olarak, ortalama ve oynaklıktaki birlikte uzun hafıza özelliği ARFIMA-FIGARCH modeli ile değerlendirilmiştir. Sonuç olarak, ortalamada uzun hafızanın varlığına dair bir bulgu elde edilemezken, oynaklığın öngörülebilir bir yapı gösterdiği Türkiye borsası etkin bir piyasa değildir. Anahtar Kelimeler: ARFIMA-FIGARCH, İkili Uzun Hafıza, Oynaklık, Yapısal Kırılma, Etkin Piyasa Hipotezi. ABSTRACT: The study examines presence of dual long memory property in returns of Turkish Stock Market by using ARFIMA-FIGARCH model and, tests Weak Form Efficient Market Hypothesis. The data set consists of daily closing prices for the period 2010 to 2013 of Istanbul Stock Exchange. Firstly, long memory property in return and volatility has been investigated separately. FIGARCH model indicates statistically significant findings while the results of ARFIMA model display long memory dynamics in returns of BIST. Secondly, long memory in return and volatility has been evaluated simultaneously by using ARFIMA-FIGARCH model. Consequently, Turkish Stock Market is not Efficient Market because volatility shows forecastable structure while there have not been obtained any finding about presence of long memory in return. Keywords: ARFIMA-FIGARCH, Dual Long Memory
Observability of market daily volatility
Petroni, Filippo; Serva, Maurizio
2016-02-01
We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 to 2014. We show that it is possible to define a Daily Market Volatility σ(t) which is directly observable from data. This quantity is usually indirectly defined by r(t) = σ(t) ω(t) where the r(t) are the daily returns of the market index and the ω(t) are i.i.d. random variables with vanishing average and unitary variance. The relation r(t) = σ(t) ω(t) alone is unable to give an operative definition of the index volatility, which remains unobservable. On the contrary, we show that using the whole information available in the market, the index volatility can be operatively defined and detected.
Aspects of volatility targeting for South African equity investors
Directory of Open Access Journals (Sweden)
Bhekinkosi Khuzwayo
2014-11-01
Full Text Available We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by changing the allocation of the assets based on an indicator of the future volatility of the risky asset. We use the three month rolling implied volatility as an indicator of future volatility to influence our asset allocation. We compare investments based on different volatility targets to the performance of bonds, equities, property as well as the Absolute Return peer mean. We examine risk and return characteristics of the volatility targeting strategy as compared to different asset classes.
Money, banks and endogenous volatility
Pere Gomis-Porqueras
2000-01-01
In this paper I consider a monetary growth model in which banks provide liquidity, and the government fixes a constant rate of money creation. There are two underlying assets in the economy, money and capital. Money is dominated in rate of return. In contrast to other papers with a larger set of government liabilities, I find a unique equilibrium when agents' risk aversion is moderate. However, indeterminacies and endogenous volatility can be observed when agents are relatively risk averse.
Effects of daylight savings time changes on stock market volatility.
Berument, M Hakan; Dogan, Nukhet; Onar, Bahar
2010-04-01
The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.
Housing market volatility in the OECD area
DEFF Research Database (Denmark)
Engsted, Tom; Pedersen, Thomas Quistgaard
2014-01-01
Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash flow (rent) news and discount rate (return) news over the period 1970-2011. For the jajority of countries news about future returns is the main driver, and both real interest rates and risk-premia play...... an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have a common factor among the majority of countries. We explain the results in terms of global changes in credit constraints...
News Impact Curve for Stochastic Volatility Models
Makoto Takahashi; Yasuhiro Omori; Toshiaki Watanabe
2012-01-01
This paper proposes a new method to compute the news impact curve for stochastic volatility (SV) models. The new method incorporates the joint movement of return and volatility, which has been ignored by the extant literature, by simply adding a couple of steps to the Bayesian MCMC estimation procedures for SV models. This simple procedure is versatile and applicable to various SV type models. Contrary to the monotonic news impact functions in the extant literature, the new method gives a U-s...
Decomposing European bond and equity volatility
Christiansen, Charlotte
2004-01-01
The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatilities are analyzed simultaneously. A new model belonging to the "volatilityspillover" family is suggested: The conditional variance of e.g. the unexpected German stock return is divided into separate effects from the contemporaneous idiosyncratic variance of US bonds, US stocks, European bonds, European stocks, German...
Level Shifts in Volatility and the Implied-Realized Volatility Relation
DEFF Research Database (Denmark)
Christensen, Bent Jesper; de Magistris, Paolo Santucci
We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the mult......We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization...... to the multivariate case of the univariate level shift technique by Lu and Perron (2008). An application to the S&P500 index and a simulation experiment show that the recently documented empirical properties of strong persistence in volatility and forecastability of future realized volatility from current implied...... volatility, which have been interpreted as long memory (or fractional integration) in volatility and fractional cointegration between implied and realized volatility, are accounted for by occasional common level shifts....
Pricing Volatility Referenced Assets
Directory of Open Access Journals (Sweden)
Alan De Genaro Dario
2006-12-01
Full Text Available Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993 stochastic volatility model. Additionally, the Heston (1993 model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.
Robert J. Barro; Sanjay P. Misra
2013-01-01
From 1836 to 2011, the average real rate of price change for gold in the United States is 1.1% per year and the standard deviation is 13.1%, implying a one-standard-deviation confidence band for the mean of (0.1%, 2.1%). The covariances of gold's real rate of price change with consumption and GDP growth rates are small and statistically insignificantly different from zero. These negligible covariances suggest that gold's expected real rate of return--which includes an unobserved dividend yiel...
DEFF Research Database (Denmark)
Agergaard, Jytte; Brøgger, Ditte
2016-01-01
flows. By focusing on these educational migrants, this paper explores how they connect to their rural homes. Guided by a critical reading of the migration-development scholarship, the paper examines how migrants and their relatives make sense of educational migrants’ remitting and returning practices......, and by comparing three groups of educational migrants, the migrants’ reasons for staying connected and sending remittances are scrutinized. The paper finds that although educational migrants do not generate extensive economic remittances for local development in Nepal, they stay connected to their rural homes...
Trading Mechanisms, Return’s Volatility, and Efficiency in the Casablance Stock Exchange
Directory of Open Access Journals (Sweden)
El Mehdi Ferrouhi
2013-07-01
Full Text Available Normal 0 false false false EN-US X-NONE X-NONE This paper studies the impact of the stock market continuity on the returns volatility and on the market efficiency in the Casablanca Stock Exchange. For the most active stocks, the trading mechanism used is the continuous market which is preceded by a call market pre opening session. Results obtained concerning return volatility and efficiency under the two trading mechanisms show that the continuous market returns are more volatile than the call market returns and 50% of stocks studied show independence between variations. Keywords: Trading mechanism, microstructure, call market, continuous market, efficiency, volatility
The Information Content of Corridor Volatility Measures During Calm and Turmoil Periods
Directory of Open Access Journals (Sweden)
Elyas Elyasiani
2017-12-01
Full Text Available Measurement of volatility is of paramount importance in finance because of the effects on risk measurement and risk management. Corridor implied volatility measures allow us to disentangle the volatility of positive returns from that of negative returns, providing investors with additional information beyond standard market volatility. The aim of the paper is twofold. First, to propose different types of corridor implied volatility and some combinations of them as risk indicators, in order to provide useful information about investors’ sentiment and future market returns. Second, to investigate their usefulness in prediction of market returns under different market conditions (with a particular focus on the subprime crisis and the European debt crisis. The data set consists of daily index options traded on the Italian market and covers the 2005–2014 period. We find that upside corridor implied volatility measure embeds the highest information content about contemporaneous market returns, claiming the superiority of call options in measuring current sentiment in the market. Moreover, both upside and downside volatilities can be considered as barometers of investors’ fear. The volatility measures proposed have forecasting power on future returns only during high volatility periods and in particular during the European debt crisis. The explanatory power on future market returns improves when two of the proposed volatility measures are combined together in the same model.
Earnings announcements and the variability of stock returns
Eilifsen, Aasmund; Knivsflå, Kjell Henry; Sættem, Frode
1999-01-01
This paper is concerned with the dissemination process of firm-specific annual earnings information in the Norwegian capital market. We find a significant reduction in stock price volatility in the post-announcement period relative to the pre-announcement period for companies traded on the Oslo Stock Exchange in the period 1990-1995. Potential explanations for this phenomenon are tested by relating the observed return volatility to changes in the volatility of the underlying business, the spe...
The world price of jump and volatility risk
Driessen, J.; Maenhout, P.
2006-01-01
Jump and volatility risk are important for understanding equity returns, option pricing and asset allocation. This paper is the first to study international integration of markets for jump and volatility risk, using data on index options for each of the three main global markets: US S&P 500 index
Predicting volatility and correlations with Financial Conditions Indexes
Opschoor, A.; van Dijk, D.; van der Wel, M.
2014-01-01
We model the impact of financial conditions on asset market volatilities and correlations. We extend the Spline-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In our empirical application we consider daily stock returns
Effects of Idiosyncratic Volatility in Asset Pricing
Directory of Open Access Journals (Sweden)
André Luís Leite
2016-04-01
Full Text Available This paper aims to evaluate the effects of the aggregate market volatility components - average volatility and average correlation - on the pricing of portfolios sorted by idiosyncratic volatility, using Brazilian data. The study investigates whether portfolios with high and low idiosyncratic volatility - in relation to the Fama and French model (1996 - have different exposures to innovations in average market volatility, and consequently, different expectations for return. The results are in line with those found for US data, although they portray the Brazilian reality. Decomposition of volatility allows the average volatility component, without the disturbance generated by the average correlation component, to better price the effects of a worsening or an improvement in the investment environment. This result is also identical to that found for US data. Average variance should thus command a risk premium. For US data, this premium is negative. According to Chen and Petkova (2012, the main reason for this negative sign is the high level of investment in research and development recorded by companies with high idiosyncratic volatility. As in Brazil this type of investment is significantly lower than in the US, it was expected that a result with the opposite sign would be found, which is in fact what occurred.
Multifractal in Volatility of Family Business Stocks Listed on Casablanca STOCK Exchange
Lahmiri, Salim
In this paper, we check for existence of multifractal in volatility of Moroccan family business stock returns and in volatility of Casablanca market index returns based on multifractal detrended fluctuation analysis (MF-DFA) technique. Empirical results show strong evidence of multifractal characteristics in volatility series of both family business stocks and market index. In addition, it is found that small variations in volatility of family business stocks are persistent, whilst small variations in volatility of market index are anti-persistent. However, large variations in family business volatility and market index volatility are both anti-persistent. Furthermore, multifractal spectral analysis based results show strong evidence that volatility in Moroccan family business companies exhibits more multifractality than volatility in the main stock market. These results may provide insightful information for risk managers concerned with family business stocks.
Grimsrud, David Borkner
2015-01-01
Masteroppgave økonomi og administrasjon- Universitetet i Agder, 2015 This master thesis looks at unexpected volatility- and financial turbulence’s predictive ability, and exploit these measures of financial risk, together with volatility, to create three dynamic asset allocation strategies, and test if they can outperform a passive and naively diversified buy-and-hold strategy. The idea with the dynamic strategies is to increase the portfolio return by keeping the portfolio risk at a low a...
Volatility Spillover Effects in European Equity Markets
Baele, L.
2003-01-01
This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets.I develop a shock spillover model that decomposes local unexpected returns into a country speciffic shock, a regional European
Risk and return: Long-run relations, fractional cointegration, and return predictability
DEFF Research Database (Denmark)
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia
2013-01-01
Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent dynamics...... are consistent with generalized long-run risk models and help explain why classical efforts of establishing a naïve return-volatility relation fail. We also estimate a fractionally cointegrated vector autoregression (CFVAR). The model-implied long-run equilibrium relation between the two variance variables...
Stock return distribution in the BRICS
Directory of Open Access Journals (Sweden)
George Adu
2015-12-01
Full Text Available Stock returns in emerging market economies exhibit patterns that are distinctively different from developed countries: returns are noted to be highly volatile and autocorrelated, and long horizon returns are predictable. While these stylized facts are well established, the assumption underlying the distribution of returns is less understood. In particular, the empirical literature continues to rely on the normality assumption as a starting point, and most asset pricing models tend to overstretch this point. This paper questions the rationale behind this supposition and proceeds to test more formally for normality using multivariate joint test for skewness and kurtosis. Additionally, the paper extends the literature by examining a number of empirical regularities for Brazil, Russia, India, China and South Africa (the BRICS for short. Our main findings are that the distribution of stock returns for the BRICS exhibits peakedness with fatter and longer tails, and this is invariant to both the unit of measurement and the time horizon of returns. Volatility clustering is prevalent in all markets, and this decays exponentially for all but Brazil. The relationship between risk and return is found to be significant and risk premiums are prevalent in our sample.
Interval stability for complex systems
Klinshov, Vladimir V.; Kirillov, Sergey; Kurths, Jürgen; Nekorkin, Vladimir I.
2018-04-01
Stability of dynamical systems against strong perturbations is an important problem of nonlinear dynamics relevant to many applications in various areas. Here, we develop a novel concept of interval stability, referring to the behavior of the perturbed system during a finite time interval. Based on this concept, we suggest new measures of stability, namely interval basin stability (IBS) and interval stability threshold (IST). IBS characterizes the likelihood that the perturbed system returns to the stable regime (attractor) in a given time. IST provides the minimal magnitude of the perturbation capable to disrupt the stable regime for a given interval of time. The suggested measures provide important information about the system susceptibility to external perturbations which may be useful for practical applications. Moreover, from a theoretical viewpoint the interval stability measures are shown to bridge the gap between linear and asymptotic stability. We also suggest numerical algorithms for quantification of the interval stability characteristics and demonstrate their potential for several dynamical systems of various nature, such as power grids and neural networks.
McCubbin, F. M.; Liu, Y.; Barnes, J. J.; Boyce, J. W.; Day, J. M. D.; Elardo, S. M.; Hui, H.; Magna, T.; Ni, P.; Tartese, R.;
2017-01-01
The chapter will begin with an introduction that defines magmatic volatiles (e.g., H, F, Cl, S) versus geochemical volatiles (e.g., K, Rb, Zn). We will discuss our approach of understanding both types of volatiles in lunar samples and lay the ground work for how we will determine the overall volatile budget of the Moon. We will then discuss the importance of endogenous volatiles in shaping the "Newer Views of the Moon", specifically how endogenous volatiles feed forward into processes such as the origin of the Moon, magmatic differentiation, volcanism, and secondary processes during surface and crustal interactions. After the introduction, we will include a re-view/synthesis on the current state of 1) apatite compositions (volatile abundances and isotopic compositions); 2) nominally anhydrous mineral phases (moderately to highly volatile); 3) volatile (moderately to highly volatile) abundances in and isotopic compositions of lunar pyroclastic glass beads; 4) volatile (moderately to highly volatile) abundances in and isotopic compositions of lunar basalts; 5) volatile (moderately to highly volatile) abundances in and isotopic compositions of melt inclusions; and finally 6) experimental constraints on mineral-melt partitioning of moderately to highly volatile elements under lunar conditions. We anticipate that each section will summarize results since 2007 and focus on new results published since the 2015 Am Min review paper on lunar volatiles [9]. The next section will discuss how to use sample abundances of volatiles to understand the source region and potential caveats in estimating source abundances of volatiles. The following section will include our best estimates of volatile abundances and isotopic compositions (where permitted by available data) for each volatile element of interest in a number of important lunar reservoirs, including the crust, mantle, KREEP, and bulk Moon. The final section of the chapter will focus upon future work, outstanding questions
Volatility transmission and volatility impulse response functions in European electricity forward markets
International Nuclear Information System (INIS)
Le Pen, Yannick; Sevi, Benoit
2008-01-01
Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function(VIRF) to quantify the impact of shock on expected conditional volatility. We observe that a shock has a high positive impact only if its size is large compared to the current level of volatility. The impact of shocks are usually not persistent, which may be an indication of market efficiency. Finally, we estimate the density of the VIRF at different forecast horizon. These fitted distributions are asymmetric and show that extreme events are possible even if their probability is low. These results have interesting implications for market participants whose risk management policy is based on option prices which themselves depend on the volatility level. (authors)
Beta Risk and Regime Shift in Market Volatility
Don U.A. Galagedera; Roland G. Shami
2004-01-01
In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the different market volatility regimes. We test the significance of the premium of the beta risk associated with the different market regimes and find evidence of a relationship between security return an...
Hammerstein system represention of financial volatility processes
Capobianco, E.
2002-05-01
We show new modeling aspects of stock return volatility processes, by first representing them through Hammerstein Systems, and by then approximating the observed and transformed dynamics with wavelet-based atomic dictionaries. We thus propose an hybrid statistical methodology for volatility approximation and non-parametric estimation, and aim to use the information embedded in a bank of volatility sources obtained by decomposing the observed signal with multiresolution techniques. Scale dependent information refers both to market activity inherent to different temporally aggregated trading horizons, and to a variable degree of sparsity in representing the signal. A decomposition of the expansion coefficients in least dependent coordinates is then implemented through Independent Component Analysis. Based on the described steps, the features of volatility can be more effectively detected through global and greedy algorithms.
The Effect of Long Memory in Volatility on Stock Market Fluctuations
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2007-01-01
Recent empirical evidence demonstrates the presence of an important long memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this property...... on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive...
J. Chen (Jinghui); M. Kobayashi (Masahito); M.J. McAleer (Michael)
2016-01-01
textabstractThe paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993),
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Kokholm, Thomas
to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Cont, Rama; Kokholm, Thomas
2013-01-01
to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...
Regime switches in the risk-return trade-off
Marcellino, Massimiliano; Ghysels, Eric; Guerin, Pierre
2014-01-01
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the first regime characterized by low ex-post returns and high volatility, the risk-return relation is reversed, whereas the intuitive positive ...
Exponential GARCH Modeling with Realized Measures of Volatility
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Huang, Zhuo
returns and volatility. We apply the model to DJIA stocks and an exchange traded fund that tracks the S&P 500 index and find that specifications with multiple realized measures dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications......We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...
Interval selection with machine-dependent intervals
Bohmova K.; Disser Y.; Mihalak M.; Widmayer P.
2013-01-01
We study an offline interval scheduling problem where every job has exactly one associated interval on every machine. To schedule a set of jobs, exactly one of the intervals associated with each job must be selected, and the intervals selected on the same machine must not intersect.We show that deciding whether all jobs can be scheduled is NP-complete already in various simple cases. In particular, by showing the NP-completeness for the case when all the intervals associated with the same job...
Recurrence interval analysis of trading volumes.
Ren, Fei; Zhou, Wei-Xing
2010-06-01
We study the statistical properties of the recurrence intervals τ between successive trading volumes exceeding a certain threshold q. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2009. Similar to the recurrence interval distribution of the price returns, the tail of the recurrence interval distribution of the trading volumes follows a power-law scaling, and the results are verified by the goodness-of-fit tests using the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cramér-von Mises criterion. The measurements of the conditional probability distribution and the detrended fluctuation function show that both short-term and long-term memory effects exist in the recurrence intervals between trading volumes. We further study the relationship between trading volumes and price returns based on the recurrence interval analysis method. It is found that large trading volumes are more likely to occur following large price returns, and the comovement between trading volumes and price returns is more pronounced for large trading volumes.
Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie
2004-01-01
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of squared high freq...
Maximum likelihood approach for several stochastic volatility models
International Nuclear Information System (INIS)
Camprodon, Jordi; Perelló, Josep
2012-01-01
Volatility measures the amplitude of price fluctuations. Despite it being one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility follow a two-dimensional diffusion process where volatility is the stochastic diffusion coefficient of the log-price dynamics. We apply this method to the simplest versions of the expOU, the OU and the Heston stochastic volatility models and we study their performance in terms of the log-price probability, the volatility probability, and its Mean First-Passage Time. The approach has some predictive power on the future returns amplitude by only knowing the current volatility. The assumed models do not consider long-range volatility autocorrelation and the asymmetric return-volatility cross-correlation but the method still yields very naturally these two important stylized facts. We apply the method to different market indices and with a good performance in all cases. (paper)
McCubbin, F. M.; Liu, Y.; Barnes, J. J.; Anand, M.; Boyce, J. W.; Burney, D.; Day, J. M. D.; Elardo, S. M.; Hui, H.; Klima, R. L.; Magna, T.; Ni, P.; Steenstra, E.; Tartèse, R.; Vander Kaaden, K. E.
2018-04-01
This abstract discusses numerous outstanding questions on the topic of endogenous lunar volatiles that will need to be addressed in the coming years. Although substantial insights into endogenous lunar volatiles have been gained, more work remains.
Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong
2016-01-01
textabstractThe primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major r...
Volatility in financial markets: The impact of the global financial crisis
Valls Ruiz, Natàlia
2014-01-01
This dissertation focuses on volatility in financial markets, with a special concern for: (i) volatility transmission between different financial markets and asset categories and, (ii) the effect of macroeconomic announcements on the returns, volatility and correlation of stock markets. These issues are analysed taking into account the phenomenon of asymmetric volatility and incorporating the period of financial turmoil caused by the Global Financial Crisis. The study focuses the attention on...
Nonvolatile, semivolatile, or volatile: redefining volatile for volatile organic compounds.
Võ, Uyên-Uyén T; Morris, Michael P
2014-06-01
Although widely used in air quality regulatory frameworks, the term "volatile organic compound" (VOC) is poorly defined. Numerous standardized tests are currently used in regulations to determine VOC content (and thus volatility), but in many cases the tests do not agree with each other, nor do they always accurately represent actual evaporation rates under ambient conditions. The parameters (time, temperature, reference material, column polarity, etc.) used in the definitions and the associated test methods were created without a significant evaluation of volatilization characteristics in real world settings. Not only do these differences lead to varying VOC content results, but occasionally they conflict with one another. An ambient evaporation study of selected compounds and a few formulated products was conducted and the results were compared to several current VOC test methodologies: SCAQMD Method 313 (M313), ASTM Standard Test Method E 1868-10 (E1868), and US. EPA Reference Method 24 (M24). The ambient evaporation study showed a definite distinction between nonvolatile, semivolatile, and volatile compounds. Some low vapor pressure (LVP) solvents, currently considered exempt as VOCs by some methods, volatilize at ambient conditions nearly as rapidly as the traditional high-volatility solvents they are meant to replace. Conversely, bio-based and heavy hydrocarbons did not readily volatilize, though they often are calculated as VOCs in some traditional test methods. The study suggests that regulatory standards should be reevaluated to more accurately reflect real-world emission from the use of VOC containing products. The definition of VOC in current test methods may lead to regulations that exclude otherwise viable alternatives or allow substitutions of chemicals that may limit the environmental benefits sought in the regulation. A study was conducted to examine volatility of several compounds and a few formulated products under several current VOC test
Normalization for Implied Volatility
Fukasawa, Masaaki
2010-01-01
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given. In particular, we prove elegant formulas for the fair strikes of the variance swap and the gamma swap.
A Jump-Diffusion Model with Stochastic Volatility and Durations
DEFF Research Database (Denmark)
Wei, Wei; Pelletier, Denis
jumps in two ways: as exogenous sampling intervals, and through the interaction with volatility. We adopt a bivariate Ornstein-Ulenbeck process to model intraday volatility and conditional duration. We develop a MCMC algorithm for the inference on irregularly spaced multivariate processes with jumps...
Entropy-based implied volatility and its information content
X. Xiao (Xiao); C. Zhou (Chen)
2016-01-01
markdownabstractThis paper investigates the maximum entropy approach on estimating implied volatility. The entropy approach also allows to measure option implied skewness and kurtosis nonparametrically, and to construct confidence intervals. Simulations show that the en- tropy approach outperforms
Onnela, Jukka-Pekka; Töyli, Juuso; Kaski, Kimmo
2009-02-01
Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid-ask spread, influences the strategy of trading order placement in electronic markets, affects the price formation mechanism, and appears to be related to the long-term memory of volatility clustering. In this paper we investigate the impact of tick size on stock returns. We start with a simple simulation to demonstrate how continuous returns become distorted after confining the price to a discrete grid governed by the tick size. We then move on to a novel experimental set-up that combines decimalization pilot programs and cross-listed stocks in New York and Toronto. This allows us to observe a set of stocks traded simultaneously under two different ticks while holding all security-specific characteristics fixed. We then study the normality of the return distributions and carry out fits to the chosen distribution models. Our empirical findings are somewhat mixed and in some cases appear to challenge the simulation results.
Alparslan-Gok, S.Z.; Brânzei, R.; Tijs, S.H.
2008-01-01
In this paper, convex interval games are introduced and some characterizations are given. Some economic situations leading to convex interval games are discussed. The Weber set and the Shapley value are defined for a suitable class of interval games and their relations with the interval core for
INDONESIA SHARI'AH COMPLIANCE STOCK RETURN BEHAVIOUR
Directory of Open Access Journals (Sweden)
Helma Malini
2017-04-01
Full Text Available This study aims to measures the behaviour of Indonesia Shari'ah compliance stock return. The measurement of return behaviour toward volatility will proved the capability of Indonesia Shari'ah compliance toward volatility that happened in Indonesia during the period of observation. Investing in Shari'ah compliance is quite different than investing in conventional stock which followed the capital market set of rules and law, Shari'ah compliance follows not only the capital market set of laws and but also the Islamic principles of principles. Most of the previous studies examine issues related to the conventional stocks and market. The present study take one step further by investigating issue related to Shari'ah compliance instrument. In the case of Shari'ah stock price in Indonesia, the dynamics volatility of the stock price can be minimized by taking an integrated screening process to the listed company, as precautions steps toward volatility
Option Valuation with Observable Volatility and Jump Dynamics
DEFF Research Database (Denmark)
Christoffersen, Peter; Feunoua, Bruno; Jeon, Yoontae
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...
Option Valuation with Observable Volatility and Jump Dynamics
DEFF Research Database (Denmark)
Christoffersen, Peter; Feunoua, Bruno; Jeon, Yoontae
2015-01-01
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...
Modelling Changes in the Unconditional Variance of Long Stock Return Series
DEFF Research Database (Denmark)
Amado, Cristina; Teräsvirta, Timo
In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta (2011...... show that the long-memory property in volatility may be explained by ignored changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the superiority of volatility forecast accuracy of the new model over the GJR-GARCH model at all...... horizons for a subset of the long return series....
Modelling changes in the unconditional variance of long stock return series
DEFF Research Database (Denmark)
Amado, Cristina; Teräsvirta, Timo
2014-01-01
In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long daily return series. For this purpose we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...... that the apparent long memory property in volatility may be interpreted as changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the superiority of volatility forecasting accuracy of the new model over the GJR-GARCH model at all horizons for eight...... subsets of the long return series....
Weber, Elke U; Siebenmorgen, Niklas; Weber, Martin
2005-06-01
An experiment examined how the type and presentation format of information about investment options affected investors' expectations about asset risk, returns, and volatility and how these expectations related to asset choice. Respondents were provided with the names of 16 domestic and foreign investment options, with 10-year historical return information for these options, or with both. Historical returns were presented either as a bar graph of returns per year or as a continuous density distribution. Provision of asset names allowed for the investigation of the mechanisms underlying the home bias in investment choice and other asset familiarity effects. Respondents provided their expectations of future returns, volatility, and expected risk, and indicated the options they would choose to invest in. Expected returns closely resembled historical expected values. Risk and volatility perceptions both varied significantly as a function of the type and format of information, but in different ways. Expected returns and perceived risk, not predicted volatility, predicted portfolio decisions.
The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps
DEFF Research Database (Denmark)
Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
We study the relation between realized and implied volatility in the bond market. Realizedvolatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.Implied volatility is backed out from prices of associated bond options. Recent nonparametric statisticaltech......We study the relation between realized and implied volatility in the bond market. Realizedvolatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.Implied volatility is backed out from prices of associated bond options. Recent nonparametric...... components. We also introduce a new vector HAR (VecHAR) modelfor the resulting simultaneous system, controlling for possible endogeneity of implied volatility inthe forecasting equations. We show that implied volatility is a biased and ineﬃcient forecast in thebond market. However, implied volatility does...
Market skewness risk and the cross section of stock returns
DEFF Research Database (Denmark)
Chang, B.Y.; Christoffersen, Peter; Jacobs, K.
2013-01-01
The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high...... exposure to innovations in implied market skewness exhibit low returns on average. The results are robust to various permutations of the empirical setup. The market skewness risk premium is statistically and economically significant and cannot be explained by other common risk factors such as the market...... excess return or the size, book-to-market, momentum, and market volatility factors, or by firm characteristics....
Stock Market Volatility around National Elections
Bialkowski, Jedrzej; Gottschalk, Katrin; Wisniewski, Tomasz Piotr
2006-01-01
This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the countryspecific component of index return variance can easily double during the week around an Election Day, which shows that investors are surprised by the election outcome. Several factors, such as a narrow margin of victory, lack of compulsory voting laws, change in the political orientation of the government, or the failure to form a coalitio...
Cross sectional moments and portfolio returns: Evidence for select emerging markets
Directory of Open Access Journals (Sweden)
Sanjay Sehgal
2016-09-01
Full Text Available Research does not indicate a consensus on the relationship between idiosyncratic volatility and asset returns. Moreover, the role of cross sectional higher order moments in predicting market returns is relatively unexplored. We show that the cross sectional volatility measure suggested by Garcia et al. is highly correlated with alternative measures of idiosyncratic volatility constructed as variance of errors from the capital asset pricing model and the Fama French model. We find that cross sectional moments help in predicting aggregate market returns in some sample countries and also provide information for portfolio formation, which is more consistent for portfolios sorted on sensitivity to cross sectional skewness.
Bootstrapping pre-averaged realized volatility under market microstructure noise
DEFF Research Database (Denmark)
Hounyo, Ulrich; Goncalves, Sílvia; Meddahi, Nour
The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach of Jacod et al. (2009), where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the pre......-averaged returns implies that these are kn-dependent with kn growing slowly with the sample size n. This motivates the application of a blockwise bootstrap method. We show that the "blocks of blocks" bootstrap method suggested by Politis and Romano (1992) (and further studied by Bühlmann and Künsch (1995......)) is valid only when volatility is constant. The failure of the blocks of blocks bootstrap is due to the heterogeneity of the squared pre-averaged returns when volatility is stochastic. To preserve both the dependence and the heterogeneity of squared pre-averaged returns, we propose a novel procedure...
An Alternative Estimation of Market Volatility based on Fuzzy Transform
Troiano, Luigi; Villa, Elena Mejuto; Kriplani, Pravesh
2017-01-01
Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the application of fuzzy transform and its inverse as an alternative measure of volatility. The measure obtained is compatible with the definition of risk measure given by Luce. A comparison with standard definition is performed by considering the NIFTY 50 stock...
Modeling and forecasting petroleum futures volatility
International Nuclear Information System (INIS)
Sadorsky, Perry
2006-01-01
Forecasts of oil price volatility are important inputs into macroeconometric models, financial market risk assessment calculations like value at risk, and option pricing formulas for futures contracts. This paper uses several different univariate and multivariate statistical models to estimate forecasts of daily volatility in petroleum futures price returns. The out-of-sample forecasts are evaluated using forecast accuracy tests and market timing tests. The TGARCH model fits well for heating oil and natural gas volatility and the GARCH model fits well for crude oil and unleaded gasoline volatility. Simple moving average models seem to fit well in some cases provided the correct order is chosen. Despite the increased complexity, models like state space, vector autoregression and bivariate GARCH do not perform as well as the single equation GARCH model. Most models out perform a random walk and there is evidence of market timing. Parametric and non-parametric value at risk measures are calculated and compared. Non-parametric models outperform the parametric models in terms of number of exceedences in backtests. These results are useful for anyone needing forecasts of petroleum futures volatility. (author)
Volatility of an Indian stock market: A random matrix approach
International Nuclear Information System (INIS)
Kulkarni, V.; Deo, N.
2006-07-01
We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000- 2002. Random matrix analysis is carried out using daily returns of 70 stocks for several time windows of 85 days in 2001 to (i) do a brief comparative analysis with statistics of eigenvalues and eigenvectors of the matrix C of correlations between price fluctuations, in time regimes of different volatilities. While a bulk of eigenvalues falls within RMT bounds in all the time periods, we see that the largest (deviating) eigenvalue correlates well with the volatility of the index, the corresponding eigenvector clearly shows a shift in the distribution of its components from volatile to less volatile periods and verifies the qualitative association between participation and volatility (ii) observe that the Inverse participation ratio for the last eigenvector is sensitive to market fluctuations (the two quantities are observed to anti correlate significantly) (iii) set up a variability index, V whose temporal evolution is found to be significantly correlated with the volatility of the overall market index. MIRAMAR (author)
A Jump Diffusion Model for Volatility and Duration
DEFF Research Database (Denmark)
Wei, Wei; Pelletier, Denis
by the market microstructure theory. Traditional measures of volatility do not utilize durations. I adopt a jump diffusion process to model the persistence of intraday volatility and conditional duration, and their interdependence. The jump component is disentangled from the continuous part of the price......, volatility and conditional duration process. I develop a MCMC algorithm for the inference of irregularly spaced multivariate process with jumps. The algorithm provides smoothed estimates of the latent variables such as spot volatility, jump times and jump sizes. I apply this model to IBM data and I find...... meaningful relationship between volatility and conditional duration. Also, jumps play an important role in the total variation, but the jump variation is smaller than traditional measures that use returns sampled at lower frequency....
The multivariate supOU stochastic volatility model
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole; Stelzer, Robert
Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second order...... structure of the volatility, the log returns, as well as their "squares" are discussed in detail. Moreover, we give several examples in which long memory effects occur and study how the model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations....... In particular, the models are shown to be preserved under invertible linear transformations. Finally, we discuss how (sup)OU stochastic volatility models can be combined with a factor modelling approach....
Extracting volatility signal using maximum a posteriori estimation
Neto, David
2016-11-01
This paper outlines a methodology to estimate a denoised volatility signal for foreign exchange rates using a hidden Markov model (HMM). For this purpose a maximum a posteriori (MAP) estimation is performed. A double exponential prior is used for the state variable (the log-volatility) in order to allow sharp jumps in realizations and then log-returns marginal distributions with heavy tails. We consider two routes to choose the regularization and we compare our MAP estimate to realized volatility measure for three exchange rates.
Predictability of Stock Returns
Directory of Open Access Journals (Sweden)
Ahmet Sekreter
2017-06-01
Full Text Available Predictability of stock returns has been shown by empirical studies over time. This article collects the most important theories on forecasting stock returns and investigates the factors that affecting behavior of the stocks’ prices and the market as a whole. Estimation of the factors and the way of estimation are the key issues of predictability of stock returns.
Stock price dynamics and option valuations under volatility feedback effect
Kanniainen, Juho; Piché, Robert
2013-02-01
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.
Understanding Financial Market Volatility
A. Opschoor (Anne)
2014-01-01
markdownabstract__Abstract__ Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. Loosely speaking, volatility is defined as the average magnitude of fluctuations observed in some phenomenon over
Improving Garch Volatility Forecasts
Klaassen, F.J.G.M.
1998-01-01
Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our model
Long-term memory and volatility clustering in high-frequency price changes
oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun
2008-02-01
We studied the long-term memory in diverse stock market indices and foreign exchange rates using Detrended Fluctuation Analysis (DFA). For all high-frequency market data studied, no significant long-term memory property was detected in the return series, while a strong long-term memory property was found in the volatility time series. The possible causes of the long-term memory property were investigated using the return data filtered by the AR(1) model, reflecting the short-term memory property, the GARCH(1,1) model, reflecting the volatility clustering property, and the FIGARCH model, reflecting the long-term memory property of the volatility time series. The memory effect in the AR(1) filtered return and volatility time series remained unchanged, while the long-term memory property diminished significantly in the volatility series of the GARCH(1,1) filtered data. Notably, there is no long-term memory property, when we eliminate the long-term memory property of volatility by the FIGARCH model. For all data used, although the Hurst exponents of the volatility time series changed considerably over time, those of the time series with the volatility clustering effect removed diminish significantly. Our results imply that the long-term memory property of the volatility time series can be attributed to the volatility clustering observed in the financial time series.
International Nuclear Information System (INIS)
Wren, D.J.; Sanipelli, G.
1985-01-01
The volatility of HOI has been measured using a mass spectrometer to analyze the gas phase above an aqueous solution. The HOI in solution was generated continuously in a flow reactor that combined I/sup -/ and OCl/sup -/ solutions. The analysis has resulted in a lower limit of 6X10/sup 3/ mol . dm/sup -3/ . atm/sup -1/ for the equilibrium constant for the reaction HOI(g)/equilibrium/HOI(aq). This value is a factor 30 greater than the best previous estimate. This new limit for HOI volatility results in higher total iodine partition coefficients, particularly for solutions with pH>8. The upper limit for the equilibrium constant is consistent with essentially zero volatility for HOI. The effect of HOI volatility on total iodine volatility is briefly discussed as a function of solution chemistry and kinetics
Volatility Analysis of Bitcoin Price Time Series
Directory of Open Access Journals (Sweden)
Lukáš Pichl
2017-12-01
Full Text Available Bitcoin has the largest share in the total capitalization of cryptocurrency markets currently reaching above 70 billion USD. In this work we focus on the price of Bitcoin in terms of standard currencies and their volatility over the last five years. The average day-to-day return throughout this period is 0.328%, amounting in exponential growth from 6 USD to over 4,000 USD per 1 BTC at present. Multi-scale analysis is performed from the level of the tick data, through the 5 min, 1 hour and 1 day scales. Distribution of trading volumes (1 sec, 1 min, 1 hour and 1 day aggregated from the Kraken BTCEUR tick data is provided that shows the artifacts of algorithmic trading (selling transactions with volume peaks distributed at integer multiples of BTC unit. Arbitrage opportunities are studied using the EUR, USD and CNY currencies. Whereas the arbitrage spread for EUR-USD currency pair is found narrow at the order of a percent, at the 1 hour sampling period the arbitrage spread for USD-CNY (and similarly EUR-CNY is found to be more substantial, reaching as high as above 5 percent on rare occasions. The volatility of BTC exchange rates is modeled using the day-to-day distribution of logarithmic return, and the Realized Volatility, sum of the squared logarithmic returns on 5-minute basis. In this work we demonstrate that the Heterogeneous Autoregressive model for Realized Volatility Andersen et al. (2007 applies reasonably well to the BTCUSD dataset. Finally, a feed-forward neural network with 2 hidden layers using 10-day moving window sampling daily return predictors is applied to estimate the next-day logarithmic return. The results show that such an artificial neural network prediction is capable of approximate capture of the actual log return distribution; more sophisticated methods, such as recurrent neural networks and LSTM (Long Short Term Memory techniques from deep learning may be necessary for higher prediction accuracy.
Interior Volatile Reservoirs in Mercury
Anzures, B. A.; Parman, S. W.; Milliken, R. E.; Head, J. W.
2018-05-01
More measurements of 1) surface volatiles, and 2) pyroclastic deposits paired with experimental volatile analyses in silicate minerals can constrain conditions of melting and subsequent eruption on Mercury.
Young, Leslie
2012-10-01
Pluto's varying subsolar latitude and heliocentric distance leads to large variations in the surface volatile distribution and surface pressure. I present results of new volatile transport models (Young 2012a, b). The models include insolation, thermal emission, subsurface conduction, heating of a volatile slab, internal heat flux, latent heat of sublimation, and strict global mass balance. Numeric advances include initial conditions that allow for rapid convergence, efficient computation with matrix arithmetic, and stable Crank-Nicholson timesteps for both bare and volatile-covered areas. Runs of the model show six distinct seasons on Pluto. (1) As Pluto approaches perihelion, the volatiles on the old winter pole (the Rotational North Pole, RNP) becomes more directly illuminated , and the pressure and albedo rise rapidly. (2) When a new ice cap forms on the Rotational South Pole, RSP, volatiles are exchanged between poles. The pressure and albedo change more slowly. (3) When all volatiles have sublimed from the RNP, the albedo and pressure drop rapidly. (4-6) A similar pattern is repeated near aphelion with a reversal of the roles and the poles. I will compare results with earlier Pluto models of Hansen and Paige (1996), show the dependence on parameters such as substrate inertia, and make predictions for the New Horizons flyby of Pluto in 2015. This work was supported, in part, by funding from NASA Planetary Atmospheres Grant NNG06GF32G and the Spitzer project (JPL research support Agreement 1368573). Hansen, C. J. and D. A. Paige 1996. Seasonal Nitrogen Cycles on Pluto. Icarus 120, 247-265. Young, L. A. 2012a. Volatile transport on inhomogeneous surfaces: I - Analytic expressions, with application to Pluto’s day. Icarus, in press Young, L. A. 2012b. Volatile transport on inhomogeneous surfaces: II. Numerical calculations, with application to Pluto's season. In preparation.
Matsakis, Nicholas D.; Gross, Thomas R.
Intervals are a new, higher-level primitive for parallel programming with which programmers directly construct the program schedule. Programs using intervals can be statically analyzed to ensure that they do not deadlock or contain data races. In this paper, we demonstrate the flexibility of intervals by showing how to use them to emulate common parallel control-flow constructs like barriers and signals, as well as higher-level patterns such as bounded-buffer producer-consumer. We have implemented intervals as a publicly available library for Java and Scala.
Gerard Gannon
2004-01-01
Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15 minute sampled data from this medium sized Asia Pacific equity and der...
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels
DEFF Research Database (Denmark)
Babaoglu, Kadir Gokhan; Christoffersen, Peter; Heston, Steven
We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A second volatility factor is economically most i...
Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); J. Tian (Jiarong)
2016-01-01
textabstractThe primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
M.P.E. Martens (Martin); D.J.C. van Dijk (Dick); M.D. de Pooter (Michiel)
2004-01-01
textabstractThe sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts,
Risk and Returns to Education. NBER Working Paper No. 18300
Brown, Jeffrey; Fang, Chichun; Gomes, Francisco
2012-01-01
We analyze the returns to education in a life-cycle framework that incorporates risk preferences, earnings volatility (including unemployment), and a progressive income tax and social insurance system. We show that such a framework significantly reduces the measured gains from education relative to simple present-value calculations, although the…
Predictable return distributions
DEFF Research Database (Denmark)
Pedersen, Thomas Quistgaard
trace out the entire distribution. A univariate quantile regression model is used to examine stock and bond return distributions individually, while a multivariate model is used to capture their joint distribution. An empirical analysis on US data shows that certain parts of the return distributions......-of-sample analyses show that the relative accuracy of the state variables in predicting future returns varies across the distribution. A portfolio study shows that an investor with power utility can obtain economic gains by applying the empirical return distribution in portfolio decisions instead of imposing...
Lacaze, Pierre-Camille
2014-01-01
Written for scientists, researchers, and engineers, Non-volatile Memories describes the recent research and implementations in relation to the design of a new generation of non-volatile electronic memories. The objective is to replace existing memories (DRAM, SRAM, EEPROM, Flash, etc.) with a universal memory model likely to reach better performances than the current types of memory: extremely high commutation speeds, high implantation densities and retention time of information of about ten years.
Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); Y-A. Wang (Yu-Ann)
2016-01-01
textabstractThe recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers
Multivariate Volatility Impulse Response Analysis of GFC News Events
D.E. Allen (David); M.J. McAleer (Michael); R.J. Powell (Robert); A.K. Singh (Abhay)
2015-01-01
textabstractThis paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the
Multivariate Volatility Impulse Response Analysis of GFC News Events
D.E. Allen (David); M.J. McAleer (Michael); R.J. Powell (Robert)
2015-01-01
markdownabstract__Abstract__ This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the
Modeling volatility using state space models.
Timmer, J; Weigend, A S
1997-08-01
In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).
American options under stochastic volatility
Chockalingam, A.; Muthuraman, K.
2011-01-01
The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility
Asymmetric conditional volatility in international stock markets
Ferreira, Nuno B.; Menezes, Rui; Mendes, Diana A.
2007-08-01
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the SP 500, FTSE 100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.
Kim, Youngmok; Lee, Kwang-Geun; Kim, Mina K
2016-10-01
Current study was designed to find out how tea harvesting time affects the volatile and non-volatile compounds profiles of green tea. In addition, correlation of instrumental volatile and non-volatile compounds analyses to consumer perception were analyzed. Overall, earlier harvested green tea had stronger antioxidant capacity (~61.0%) due to the polyphenolic compounds from catechin (23,164 mg/L), in comparison to later harvested green teas (11,961 mg/L). However, high catechin content in green tea influenced negatively the consumer likings of green tea, due to high bitterness (27.6%) and astringency (13.4%). Volatile compounds drive consumer liking of green tea products were also identified, that included linalool, 2,3-methyl butanal, 2-heptanone, (E,E)-3,5-Octadien-2-one. Finding from current study are useful for green tea industry as it provide the difference in physiochemical properties of green tea harvested at different intervals.
Classifying Returns as Extreme
DEFF Research Database (Denmark)
Christiansen, Charlotte
2014-01-01
I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately, and two, a novel multivariate classification scheme tha...
Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models
Directory of Open Access Journals (Sweden)
Hojin Lee
2009-12-01
Full Text Available We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the characteristics to form an out-of-sample volatility forecast. Contrary to prior evidence, however, the results in this paper suggest that no asymmetric GARCH model is superior to basic GARCH(1,1 model. It is our prior knowledge that, for equity returns, it is unlikely that positive and negative shocks have the same impact on the volatility. In order to reflect this intuition, we implement three diagnostic tests for volatility models: the Sign Bias Test, the Negative Size Bias Test, and the Positive Size Bias Test and the tests against the alternatives of QGARCH and GJR-GARCH. The asymmetry test results indicate that the sign and the size of the unexpected return shock do not influence current volatility differently which contradicts our presumption that there are asymmetric effects in the stock market volatility. This result is in line with various diagnostic tests which are designed to determine whether the GARCH(1,1 volatility estimates adequately represent the data. The diagnostic tests in section 2 indicate that the GARCH(1,1 model for weekly KOSPI returns is robust to the misspecification test. We also investigate two representative asymmetric GARCH models, QGARCH and GJR-GARCH model, for our out-of-sample forecasting performance. The out-of-sample forecasting ability test reveals that no single model is clearly outperforming. It is seen that the GJR-GARCH and QGARCH model give mixed results in forecasting ability on all four criteria across all forecast horizons considered. Also, the predictive accuracy test of Diebold and Mariano based on both absolute and squared prediction errors suggest that the forecasts from the linear and asymmetric GARCH models need not be significantly different from each other.
International Nuclear Information System (INIS)
Du Xiaodong; Yu, Cindy L.; Hayes, Dermot J.
2011-01-01
This paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov Chain Monte Carlo methods. Speculation, scalping, and petroleum inventories are found to be important in explaining the volatility of crude oil prices. Several properties of crude oil price dynamics are established, including mean-reversion, an asymmetry between returns and volatility, volatility clustering, and infrequent compound jumps. We find evidence of volatility spillover among crude oil, corn, and wheat markets after the fall of 2006. This can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production.
Oil and stock market volatility: A multivariate stochastic volatility perspective
International Nuclear Information System (INIS)
Vo, Minh
2011-01-01
This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction. It offers four major findings. First, the stock and oil futures prices are inter-related. Their correlation follows a time-varying dynamic process and tends to increase when the markets are more volatile. Second, conditioned on the past information, the volatility in each market is very persistent, i.e., it varies in a predictable manner. Third, there is inter-market dependence in volatility. Innovations that hit either market can affect the volatility in the other market. In other words, conditioned on the persistence and the past volatility in their respective markets, the past volatility of the stock (oil futures) market also has predictive power over the future volatility of the oil futures (stock) market. Finally, the model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry. - Research Highlights: → This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility model. → The correlation between the two markets follows a time-varying dynamic process which tends to increase when the markets are more volatile. → The volatility in each market is very persistent. → Innovations that hit either market can affect the volatility in the other market. → The model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry.
African Journals Online (AJOL)
Dr Ahmed
finance and long-term maturity loans. An annuity is a sequence of payments made over uniform time intervals and may be ordinary. (paid at the end of the interval) or due (paid at the beginning of the interval). Common examples include interest payments on bonds, computation of interest in bank accounts, loan repayments ...
Dynamic jump intensities and risk premia : Evidence from S&P500 returns and options
Christoffersen, P.; Jacobs, K.; Ornthanalai, C.
2012-01-01
We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard
The Use of Risk and Return for Testing the Stability of Stock Markets
Directory of Open Access Journals (Sweden)
Viorica Chirilă
2014-04-01
Full Text Available The European Central Bank stipulates that a financial system is stable if the financial risks are evaluated and rewarded correctly and if the economic and financial shocks are absorbed. When analyzing the return and volatility of the stock exchanges we may ascertain that a stock exchange is stable if there is a connection between return and volatility and if the shocks determined by the new positive and negative information do not cause significant changes of the volatility. We took into consideration the values of the indices of stock markets from Holland (AEX, Belgium (BEL, Romania (BET, Hungary (BUX, Germany (DAX, France (CAC, Czech Republic (PX, Slovakia (SAX, Austria (ATX, Estonia (OMXT, Latvia (OMXR and Lithuania (OMXV. In order to test the relationship between return-volatility and volatility asymmetry we estimated a GJR-GARCH-M model. The results confirm the lack of existence of a correlation between return and volatility for the entire period under analysis and the existence of the volatility asymmetry.
Directory of Open Access Journals (Sweden)
Thomas C. Chiang
2018-03-01
Full Text Available This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive relation between stock return and intertemporal downside risk, while controlling for sentiment and liquidity. This study suggests that the U.S. stress risk or the world downside risk should be priced into the Chinese stocks. The paper concludes that the risk-return tradeoff is present in the GARCH-in-mean, local downside risk-return, and global risk-return relations.
Option Pricing with Stochastic Volatility and Jump Diffusion Processes
Directory of Open Access Journals (Sweden)
Radu Lupu
2006-03-01
Full Text Available Option pricing by the use of Black Scholes Merton (BSM model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The objective of this article is to present the methods that developed after the Black Scholes Merton environment and deals with the option pricing model adjustment to the empirical properties of asset returns. The main models that appeared after BSM allowed for special changes of the returns that materialized in jump-diffusion and stochastic volatility processes. The article presents the foundations of risk neutral options evaluation and the empirical evidence that fed the amendment of the lognormal assumption in the first part and shows the evaluation procedure under the assumption of stock prices following the jump-diffusion process and the stochastic volatility process.
Parametric Portfolio Policies with Common Volatility Dynamics
DEFF Research Database (Denmark)
Ergemen, Yunus Emre; Taamouti, Abderrahim
A parametric portfolio policy function is considered that incorporates common stock volatility dynamics to optimally determine portfolio weights. Reducing dimension of the traditional portfolio selection problem significantly, only a number of policy parameters corresponding to first- and second......-order characteristics are estimated based on a standard method-of-moments technique. The method, allowing for the calculation of portfolio weight and return statistics, is illustrated with an empirical application to 30 U.S. industries to study the economic activity before and after the recent financial crisis....
The risks and returns of stock investment in a financial market
Li, Jiang-Cheng; Mei, Dong-Cheng
2013-03-01
The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them.
DEFF Research Database (Denmark)
Dorn, Jochen
This article aims to shed a light on innovative fund management concepts which emerged after the crisis. Two main strategies seem to dominate the financial turmoil: Absolute return concepts and long/short trading techniques. While there already exists exhaustive literature on absolute return conc...
DEFF Research Database (Denmark)
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin
Building on realized variance and bi-power variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability...
Volatile liquid storage system
International Nuclear Information System (INIS)
Laverman, R.J.; Winters, P.J.; Rinehart, J.K.
1992-01-01
This patent describes a method of collecting and abating emission from a volatile liquid in an above ground storage tank. It comprises the liquid storage tank having a bottom, a vertical cylindrical circular wall having a lower edge portion joined to the bottom, and an external fixed roof, the tank having an internal floating roof floating on a volatile liquid stored in the tank, and air vent means in the tank in communication with a vapor space in the tank constituting at least the space above the floating roof when the floating roof floats on a predetermined maximum volume of volatile liquid in the tank; permitting ambient air; pumping emission laden air from the tank vapor space above the floating roof; and by means of the emissions abatement apparatus eliminating most of the emission from the emissions laden air with formation of a gaseous effluent and then discharging the resulting gaseous effluent to the atmosphere
Understanding Interest Rate Volatility
DEFF Research Database (Denmark)
Volker, Desi
This thesis is the result of my Ph.D. studies at the Department of Finance of the Copenhagen Business School. It consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The rst essay, \\Monetary Policy Uncertainty...... and Interest Rates", examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay, \\A Regime-Switching A ne Term Structure Model with Stochastic Volatility" (co-authored with Sebastian Fux), investigates the ability of the class of regime switching models...... with and without stochastic volatility to capture the main stylized features of U.S. interest rates. The third essay, \\Variance Risk Premia in the Interest Rate Swap Market", investigates the time-series and cross-sectional properties of the compensation demanded for holding interest rate variance risk. The essays...
Price volatility, trading volume, and market depth in Asian commodity futures exchanges
Directory of Open Access Journals (Sweden)
Tanachote Boonvorachote
2016-01-01
Full Text Available This paper empirically investigates the impact of trading activity including trading volume and open interest on price volatility in Asian futures exchanges. Trading volume and open interest represent market information for investors. This study uses three different definitions of volatility: (1 daily volatility measured by close-to-close returns, (2 non-trading volatility measured by close-to-open returns, and (3 trading volatility measured by open-to-close returns. The impact of trading volume and open interest on price volatility is investigated. Following Bessembinder and Seguin (1993, volume and open interest are divided into expected and unexpected components. The GARCH (1,1 model is employed using expected and unexpected components of trading activity (volume and open interest as explanatory variables. The results show a positive contemporaneous relationship between expected and unexpected trading volume and volatility, while open interest mitigates volatility. Policy makers can use these findings to suggest to investors that trading activity (volume and open interest is a proxy of market information flowing to exchanges, especially unexpected trading activity. New information flowing to exchanges can mostly be noticed in unexpected trading volumes and open interests.
On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis
Slim, Skander
2016-12-01
This paper investigates the performance of time-changed Lévy processes with distinct sources of return volatility variation for modeling cross-sectional option prices on the CAC40 index during the subprime crisis. Specifically, we propose a multi-factor stochastic volatility model: one factor captures the diffusion component dynamics and two factors capture positive and negative jump variations. In-sample and out-of-sample tests show that our full-fledged model significantly outperforms nested lower-dimensional specifications. We find that all three sources of return volatility variation, with different persistence, are needed to properly account for market pricing dynamics across moneyness, maturity and volatility level. Besides, the model estimation reveals negative risk premium for both diffusive volatility and downward jump intensity whereas a positive risk premium is found to be attributed to upward jump intensity.
Hot money and China's stock market volatility: Further evidence using the GARCH-MIDAS model
Wei, Yu; Yu, Qianwen; Liu, Jing; Cao, Yang
2018-02-01
This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH-MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market.
Kansas Data Access and Support Center — LIDAR-derived binary (.las) files containing classified points of all returns. We have 3 classifications Unclassified, Ground, Low points. The average Ground Sample...
Effects of Daylight Saving Time changes on stock market volatility: a reply.
Berument, Hakan; Dogan, Nukhet
2011-12-01
There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents evidence that DST changes affect the relationship between stock market return and volatility. Empirical evidence suggests that the positive relationship between return and volatility becomes negative on the Mondays following DST changes.
Multifractals in Western Major STOCK Markets Historical Volatilities in Times of Financial Crisis
Lahmiri, Salim
In this paper, the generalized Hurst exponent is used to investigate multifractal properties of historical volatility (CHV) in stock market price and return series before, during and after 2008 financial crisis. Empirical results from NASDAQ, S&P500, TSE, CAC40, DAX, and FTSE stock market data show that there is strong evidence of multifractal patterns in HV of both price and return series. In addition, financial crisis deeply affected the behavior and degree of multifractality in volatility of Western financial markets at price and return levels.
Thomas C. Chiang; Yuanqing Zhang
2018-01-01
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive relation between stock return and intertemporal downside risk, while controlling for sentiment and liquidity. This study suggests that the U.S. stress risk or the world downside risk should be priced int...
Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?
Salvador, Enrique; Floros, Christos; Arago, Vicent
2014-01-01
This paper analyzes the risk–return trade-off in Europe using recent data from 11 European stock markets. After relaxing the linear assumptions in the risk–return relationship by introducing a new approach that considers the current state of the market, we obtain significant evidence for a positive risk–return trade-off for low volatility states. However, this finding is reduced or even non-significant during periods of high volatility. Maintaining the linear assumption over the risk–return t...
Overconfidence in Interval Estimates
Soll, Jack B.; Klayman, Joshua
2004-01-01
Judges were asked to make numerical estimates (e.g., "In what year was the first flight of a hot air balloon?"). Judges provided high and low estimates such that they were X% sure that the correct answer lay between them. They exhibited substantial overconfidence: The correct answer fell inside their intervals much less than X% of the time. This…
Quantifying requirements volatility effects
Kulk, G.P.; Verhoef, C.
2008-01-01
In an organization operating in the bancassurance sector we identified a low-risk IT subportfolio of 84 IT projects comprising together 16,500 function points, each project varying in size and duration, for which we were able to quantify its requirements volatility. This representative portfolio
Manure application and ammonia volatilization
Huijsmans, J.F.M.
2003-01-01
Keywords: manure application, ammonia volatilization, environmental conditions, application technique, incorporation technique, draught force, work organization, costs Livestock manure applied on farmland is an important source of ammonia (NH3) volatilization, and NH3 is a major atmospheric
The Cosmochemistry of Pluto: A Primordial Origin of Volatiles?
Glein, C. R.; Waite, J. H., Jr.
2017-12-01
Pluto is a wonderland of volatiles. Nitrogen, methane, and carbon monoxide are the principal volatiles that maintain its tenuous atmosphere, and they have also created a mesmerizing landscape of icy geological features, including Pluto's iconic "heart". Recent data, particularly those returned by the New Horizons mission [1-3], allow us to begin testing hypotheses for the cosmochemical origins of these world-shaping species on Pluto. Here, we investigate if Pluto's volatiles could have been accreted in its building blocks. We take both bottom-up and top-down approaches in testing this hypothesis in terms of mass balance. We estimate Pluto's primordial inventory of volatiles by scaling a range of cometary abundances up to the ice mass fraction of Pluto. We also make estimates of the present and lost inventories of volatiles based on surface observations and interpretations, as well as different scenarios of atmospheric photochemistry and escape. We find that, if primordial Pluto resembled a giant comet with respect to volatile abundances, then the initial volatile inventory would have been sufficient to account for the estimated present and lost inventories. This consistency supports a primordial origin for Pluto's volatiles. However, the observed ratio of CO/N2 in Pluto's atmosphere [4] is several orders of magnitude lower than the nominal cometary value. We are currently using phase equilibrium and rate models to explore if volatile layering in Sputnik Planitia, or the destruction of CO in a past or present subsurface ocean of liquid water could explain the apparent depletion of CO on Pluto. References: [1] Moore et al. (2016) Science 351, 1284. [2] Grundy et al. (2016) Science 351, aad9189. [3] Gladstone et al. (2016) Science 351, aad8866. [4] Lellouch et al. (2017) Icarus 286, 289.
The exploitation of volatile oil
Institute of Scientific and Technical Information of China (English)
MENG Teng; ZHANG Da; TENG Xiangjin; LINing; HAO Zaibin
2007-01-01
Rose is a kind of favorite ornamental plant. This article briefly introduced the cultivation and the use of rose around the world both in ancient time and nowadays. Today, volatile oil becomes the mainstream of the rose industry. People pay attention to the effect of volatile oil; meanwhile, they speed up their research on extracting volatile oil and the ingredients.
Applications of interval computations
Kreinovich, Vladik
1996-01-01
Primary Audience for the Book • Specialists in numerical computations who are interested in algorithms with automatic result verification. • Engineers, scientists, and practitioners who desire results with automatic verification and who would therefore benefit from the experience of suc cessful applications. • Students in applied mathematics and computer science who want to learn these methods. Goal Of the Book This book contains surveys of applications of interval computations, i. e. , appli cations of numerical methods with automatic result verification, that were pre sented at an international workshop on the subject in EI Paso, Texas, February 23-25, 1995. The purpose of this book is to disseminate detailed and surveyed information about existing and potential applications of this new growing field. Brief Description of the Papers At the most fundamental level, interval arithmetic operations work with sets: The result of a single arithmetic operation is the set of all possible results as the o...
Regime-switching stochastic volatility. Evidence from the crude oil market
International Nuclear Information System (INIS)
Vo, Minh T.
2009-01-01
This paper incorporates regime-switching into the stochastic volatility (SV) framework in an attempt to explain the behavior of crude oil prices in order to forecast their volatility. More specifically, it models the volatility of oil return as a stochastic volatility process whose mean is subject to shifts in regime. The shift is governed by a two-state first-order Markov process. The Bayesian Markov Chain Monte Carlo method is used to estimate the models. The main findings are: first, there is clear evidence of regime-switching in the oil market. Ignoring it will lead to a false impression that the volatility is highly persistent and therefore highly predictable. Second, incorporating regime-switching into the SV framework significantly enhances the forecasting power of the SV model. Third, the regime-switching stochastic volatility model does a good job in capturing major events affecting the oil market. (author)
Can we use volatility to diagnose financial bubbles? lessons from 40historical bubbles
Directory of Open Access Journals (Sweden)
Didier Sornette
2018-03-01
Full Text Available We inspect the price volatility before, during, and after financial asset bubbles in orderto uncover possible commonalities and check empirically whether volatility might be used as anindicator or an early warning signal of an unsustainable price increase and the associated crash. Someresearchers and finance practitioners believe that historical and/or implied volatility increase beforea crash, but we do not see this as a consistent behavior. We examine forty well-known bubbles and,using creative graphical representations to capture robustly the transient dynamics of the volatility, findthat the dynamics of the volatility would not have been a useful predictor of the subsequent crashes.In approximately two-third of the studied bubbles, the crash follows a period of lower volatility,reminiscent of the idiom of a “lull before the storm”. This paradoxical behavior, from the lensesof traditional asset pricing models, further questions the general relationship between risk and return.
Daily happiness and stock returns: Some international evidence
Zhang, Wei; Li, Xiao; Shen, Dehua; Teglio, Andrea
2016-10-01
In this paper, we examine the relations between the daily happiness sentiment extracted from Twitter and the stock market performance in 11 international stock markets. By partitioning this happiness sentiment into quintiles from the least to the happiest days, we first show that the contemporary correlation coefficients between happiness sentiment and index return in the 4 and most-happiness subgroups are higher than that in least, 2 and 3-happiness subgroups. Secondly, the happiness sentiment can provide additional explanatory power for index return in the most-happiness subgroup. Thirdly, the daily happiness can granger-cause the changes in index return for the majority of stock markets. Fourthly, we find that the index return and the range-based volatility of the most-happiness subgroup are larger than those of other subgroups. These results highlight the important role of social media in stock market.
Directory of Open Access Journals (Sweden)
Emenike O. Kalu
2015-10-01
Full Text Available Normal 0 false false false EN-US X-NONE X-NONE Modeling the correlation of assets returns volatilities across different markets or segments of a market has practical value for portfolio selection and diversification, market regulation, and risk management. This paper therefore evaluates the nature of time-varying correlation between volatilities of stock market and crude oil returns in Nigeria using Dynamic Conditional Correlation-Generalised Autoregressive Conditional Heteroscedasticity (DCC-GARCH model. Results from DCC-GARCH (1,1 model show evidence of volatility clustering and persistence in Nigeria stock market and crude oil returns. The results also show that there is no dynamic conditional correlation in ARCH effects between stock market returns and crude oil prices in Nigeria. The results further show that there is strong evidence of time-varying volatility correlation between stock market and crude oil returns volatility. The findings will help shape policy-making in risk management and market regulation in Nigeria.
Priyanka Singh; Brajesh Kumar; Pandey, Ajay
2008-01-01
This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. Interdependence of Indian stock market with other fourteen world markets in terms of long run integration, short run dependence (return spillover) and volatility spillover are investigated. These markets are that of are Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and U...
DEFF Research Database (Denmark)
Nicolaisen, Jeppe; Faber Frandsen, Tove
2008-01-01
The paper introduces a new journal impact measure called The Reference Return Ratio (3R). Unlike the traditional Journal Impact Factor (JIF), which is based on calculations of publications and citations, the new measure is based on calculations of bibliographic investments (references) and returns...... (citations). A comparative study of the two measures shows a strong relationship between the 3R and the JIF. Yet, the 3R appears to correct for citation habits, citation dynamics, and composition of document types - problems that typically are raised against the JIF. In addition, contrary to traditional...
The Returns to Entrepreneurship
DEFF Research Database (Denmark)
Van Praag, Mirjam; Raknerud, Arvid
Empirical studies show low pecuniary returns of switching from wage employment to entrepreneurship. We reconsider the pecuniary gains of this switching by employing a two-stage procedure, where the randomness in the timing of inheritance transfers is used as an exclusion restriction to identify...... causal effects. The model is estimated on data covering the whole Norwegian population of individuals matched to the entire population of firms established in the period 2002-2011. The results indicate that the average returns to entrepreneurship are significantly negative for individuals entering...... entrepreneurship through self-employment and modest, but significantly positive, for incorporated startups....
International Nuclear Information System (INIS)
Shumway, R.W.
1985-01-01
This paper presents a collection of TMIN (temperature of return to nucleate boiling) correlations, evaluates them under several conditions, and compares them with a wide range of data. Purpose is to obtain the best one for use in a water reactor safety computer simulator known as TRAC-B. Return to nucleate boiling can occur in a reactor accident at either high or low pressure and flow rates. Most of the correlations yield unrealistic results under some conditions. A new correlation is proposed which overcomes many of the deficiencies
How Volatilities Nonlocal in Time Affect the Price Dynamics in Complex Financial Systems
Tan, Lei; Zheng, Bo; Chen, Jun-Jie; Jiang, Xiong-Fei
2015-01-01
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time. PMID:25723154
How volatilities nonlocal in time affect the price dynamics in complex financial systems.
Directory of Open Access Journals (Sweden)
Lei Tan
Full Text Available What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time.
Dahiru A. Bala; Taro Takimoto
2017-01-01
This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs) using multivariate-GARCH (MGARCH) models and their variants. In addition, we analyse the impacts of global financial crisis (2007–2009) on stock market volatility interactions and modify the BEKK-MGARCH-type models by including financial crisis dummies to assess their impact on volatilities and spillovers. Major findings reveal that correlations among emerging markets (EMs) are lower compared w...
Directory of Open Access Journals (Sweden)
Nader Naifar
2016-09-01
Full Text Available The aim of this paper is to investigate the dependence structure between sukuk (Islamic bonds yields and stock market (returns and volatility in the case of Saudi Arabia. We consider three Archimedean copula models with different tail dependence structures namely Gumbel, Clayton, and Frank. This study shows that the sukuk yields exhibit significant dependence only with stock market volatility. In addition, the dependence structure between sukuk yields and stock market volatility are symmetric and linked with the same intensity.
Guneratne Banda Wickremasinghe; Param Silvapulle
2004-01-01
This paper investigates the effect of exchange rate volatility on the degree of exchange rate pass-through in Japan for the period January 1975 to June 1997. Although several studies put forward theoretical arguments for the volatility-domestic import price relationship, only a very few studies produced empirical evidence. The volatility of contractual currency based exchange rate index returns was modelled using GARCH-type processes with skewed student t-distribution, capturing the typical n...
Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie
2004-01-01
This discussion paper resulted in an article in the Journal of Empirical Finance (2005). Vol. 12, issue 3, pages 445-475. The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return series), of im...
Volatile metabolites from actinomycetes
DEFF Research Database (Denmark)
Scholler, C.E.G.; Gurtler, H.; Pedersen, R.
2002-01-01
Twenty-six Streptomyces spp. were screened for their volatile production capacity on yeast starch agar. The volatile organic compounds (VOCs) were concentrated on a porous polymer throughout an 8-day growth period. VOCs were analyzed by gas chromatography with flame ionization detection...... and identified or characterized by gas chromatography-mass spectrometry. A total of 120 VOCs were characterized by retention index and mass spectra. Fifty-three compounds were characterized as terpenoid compounds, among which 18 could be identified. Among the VOCs were alkanes, alkenes, alcohols, esters, ketones....... The relationship between the excretion of geosmin and the production of spores was examined for one isolate. A good correlation between headspace geosmin and the number of spores was observed, suggesting that VOCs could be used to indicate the activity of these microorganisms in heterogeneous substrates....
The impact of financial crises on the risk-return tradeoff and the leverage effect
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
50% in magnitude during …financial crises. No such changes are observed during NBER recessions, so in this sense …financial crises are special. Applications to a number of major developed and emerging international stock markets confirm the increase in the leverage effect, whereas the international......We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features...... and allows the co-existence of long memory in volatility and short memory in returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage effect to change during financial crises. An application to the daily U.S. stock index return series from 1926...
The impact of financial crises on the risk-return tradeoff and the leverage effect
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
2015-01-01
% in magnitude during financial crises. No such changes are observed during NBER recessions, so in this sense financial crises are special. Applications to a number of major developed and emerging international stock markets confirm the increase in the leverage effect, whereas the international evidence......We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features...... and allows the co-existence of long memory in volatility and short memory in returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage effect to change during financial crises. An application to the daily U.S. stock index return series from 1926...
Habit, Production, and the Cross-Section of Stock Returns
Chen, Andrew Y.
2014-01-01
Solutions to the equity premium puzzle should inform us about the cross-section of stock returns. An external habit model with heterogeneous firms reproduces numerous stylized facts about both the equity premium and the value premium. The equity premium is large, time-varying, and linked with consumption volatility. The cross-section of expected returns is log-linear in B/M, and the slope matches the data. The explanation for the value premium lies in the interaction between the cross-section...
Minimum Tracking Error Volatility
Luca RICCETTI
2010-01-01
Investors assign part of their funds to asset managers that are given the task of beating a benchmark. The risk management department usually imposes a maximum value of the tracking error volatility (TEV) in order to keep the risk of the portfolio near to that of the selected benchmark. However, risk management does not establish a rule on TEV which enables us to understand whether the asset manager is really active or not and, in practice, asset managers sometimes follow passively the corres...
Energy Technology Data Exchange (ETDEWEB)
Bregeat, J H
1925-07-30
The products of hydrogenation of alicyclic compounds, such as terpenes, for example, pinene or oil of turpentine, are used as washing liquids for absorbing vapours of volatile liquids from gases, such as natural gases from petroliferous regions, gases from the distillation of coal, lignite, schist, peat, etc. or from the cracking of heavy oils. Other liquids such as tar oils vaseline oils, cresols, etc. may be added.
Understanding Interest Rate Volatility
Volker, Desi
2016-01-01
This thesis is the result of my Ph.D. studies at the Department of Finance of the Copenhagen Business School. It consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The rst essay, \\Monetary Policy Uncertainty and Interest Rates", examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay, \\A Regime-Switching A ne Term Structure Model with Stochast...
Jump dynamics and volatility: Oil and the stock markets
International Nuclear Information System (INIS)
Chiou, Jer-Shiou; Lee, Yen-Hsien
2009-01-01
Our study distinguishes itself from the prior studies within the oil and financial literature by not only examining the asymmetric effects of oil prices on stock returns, but also exploring the importance of structure changes in this dependency relationship. We retrieve daily data on S and P 500 and West Texas Intermediate (WTI) oil transactions covering the period from 1 January 1992 to 7 November 2006, and then transform the available data into daily returns. In contrast to the extant literature, in this study, consideration of expected, unexpected and negative unexpected oil price fluctuations is incorporated into the model of stock returns; we also focus on the ways in which oil price volatility, as opposed to general macroeconomic variables, can influence the stock market. We go on to implement the ARJI (Autoregressive Conditional Jump Intensity) model with structure changes, from which we conclude that high fluctuations in oil prices have asymmetric unexpected impacts on S and P 500 returns. (author)
Impact of the tick-size on financial returns and correlations
Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas
2010-11-01
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as possibly altering the tail behavior. On small return intervals, the tick-size can distort the calculation of correlations. This especially occurs on small return intervals and thus contributes to the decay of the correlation coefficient towards smaller return intervals (Epps effect). We study this behavior within a model and identify the effect in market data. Furthermore, we present a method to compensate this purely statistical error.
Sustainable Mars Sample Return
Alston, Christie; Hancock, Sean; Laub, Joshua; Perry, Christopher; Ash, Robert
2011-01-01
The proposed Mars sample return mission will be completed using natural Martian resources for the majority of its operations. The system uses the following technologies: In-Situ Propellant Production (ISPP), a methane-oxygen propelled Mars Ascent Vehicle (MAV), a carbon dioxide powered hopper, and a hydrogen fueled balloon system (large balloons and small weather balloons). The ISPP system will produce the hydrogen, methane, and oxygen using a Sabatier reactor. a water electrolysis cell, water extracted from the Martian surface, and carbon dioxide extracted from the Martian atmosphere. Indigenous hydrogen will fuel the balloon systems and locally-derived methane and oxygen will fuel the MAV for the return of a 50 kg sample to Earth. The ISPP system will have a production cycle of 800 days and the estimated overall mission length is 1355 days from Earth departure to return to low Earth orbit. Combining these advanced technologies will enable the proposed sample return mission to be executed with reduced initial launch mass and thus be more cost efficient. The successful completion of this mission will serve as the next step in the advancement of Mars exploration technology.
Lindsay T McMahon
2007-01-01
With the signing of the Comprehensive Peace Agreement in January 2005, the new Government of South Sudan began to call for the return of the millions of South Sudanese IDP s and refugees. The International Organization for Migration (IOM) has developed a programme to help them do so.
Directory of Open Access Journals (Sweden)
Lindsay T McMahon
2007-07-01
Full Text Available With the signing of the Comprehensive Peace Agreement in January 2005, the new Government of South Sudan began to call for the return of the millions of South Sudanese IDP s and refugees. The International Organization for Migration (IOM has developed a programme to help them do so.
Higher Education Endowments Return
Bahlmann, David; Walda, John D.; Sedlacek, Verne O.
2012-01-01
A new study of endowments by the National Association of College and University Business Officers (NACUBO) and the Commonfund Institute has brought good news to college and universities: While endowment returns dropped precipitously in fiscal year 2009 as a result of the financial crisis and accompanying slide in equity markets, they climbed to an…
Mangan, Marianne
2013-01-01
Call it physical activity, call it games, or call it play. Whatever its name, it's a place we all need to return to. In the physical education, recreation, and dance professions, we need to redesign programs to address the need for and want of play that is inherent in all of us.
Surveillance test interval optimization
International Nuclear Information System (INIS)
Cepin, M.; Mavko, B.
1995-01-01
Technical specifications have been developed on the bases of deterministic analyses, engineering judgment, and expert opinion. This paper introduces our risk-based approach to surveillance test interval (STI) optimization. This approach consists of three main levels. The first level is the component level, which serves as a rough estimation of the optimal STI and can be calculated analytically by a differentiating equation for mean unavailability. The second and third levels give more representative results. They take into account the results of probabilistic risk assessment (PRA) calculated by a personal computer (PC) based code and are based on system unavailability at the system level and on core damage frequency at the plant level
Estimating Price Volatility Structure in Iran’s Meat Market: Application of General GARCH Models
Directory of Open Access Journals (Sweden)
Z. Rasouli Birami
2016-10-01
Full Text Available Introduction: Over the past few years, the price volatility of agricultural products and food markets has attracted attention of many researchers and policy makers. This growing attention was started from the food price crisis in 2007 and 2008 when major agricultural products faced accelerated price increases and then rapidly decreased. This paper focused on the price volatility of major commodities related to three market levels of Iran’s meat market, including hay (the input level, calf and sheep (the wholesale level and beef and mutton (the retail level. In particular, efforts will made to find more appropriate models for explaining the behavior of volatility of the return series and to identify which return series are more volatile. The effects of good and bad news on the volatility of prices in each return series will also be studied. Materials and Methods: Different GARCH type models have been considered the best for modeling volatility of return series. Nonlinear GARCH models were introduced to capture the effect of good and bad news separately. The paper uses some GARCH type models including GARCH, Exponential GARCH (EGARCH, GJR-GARCH, Threshold GARCH (TGARCH, Simple Asymmetric GARCH (SAGARCH, Power GARCH (PGARCH, Non-linear GARCH (NGARCH, Asymmetric Power GARCH (APGARCH and Non-linear Power GARCH (NPGARCH to model the volatility of hay, calf, sheep, beef and mutton return series. The data on hay, calf, sheep, and beef and mutton monthly prices are published by Iran’s livestock support firm. The paper uses monthly data over the sample period of the May 1992 to the March 2014. Results and Discussion: Descriptive statistics of the studied return series show evidence of skewness and kurtosis. The results here show that all the series has fat tails. The significant p-values for the Ljung-Box Q-statistics mean that the auto-correlation exists in the squared residuals. The presence of unit roots in the return series is confirmed by the
Ruette, Sylvie
2017-01-01
The aim of this book is to survey the relations between the various kinds of chaos and related notions for continuous interval maps from a topological point of view. The papers on this topic are numerous and widely scattered in the literature; some of them are little known, difficult to find, or originally published in Russian, Ukrainian, or Chinese. Dynamical systems given by the iteration of a continuous map on an interval have been broadly studied because they are simple but nevertheless exhibit complex behaviors. They also allow numerical simulations, which enabled the discovery of some chaotic phenomena. Moreover, the "most interesting" part of some higher-dimensional systems can be of lower dimension, which allows, in some cases, boiling it down to systems in dimension one. Some of the more recent developments such as distributional chaos, the relation between entropy and Li-Yorke chaos, sequence entropy, and maps with infinitely many branches are presented in book form for the first time. The author gi...
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Cont, Rama; Kokholm, Thomas
observed properties of variance swap dynamics and allows for jumps in volatility and returns. An affine specification using L´evy processes as building blocks leads to analytically tractable pricing formulas for options on variance swaps as well as efficient numerical methods for pricing of European......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options...
Voltage interval mappings for an elliptic bursting model
Wojcik, Jeremy; Shilnikov, Andrey
2013-01-01
We employed Poincar\\'e return mappings for a parameter interval to an exemplary elliptic bursting model, the FitzHugh-Nagumo-Rinzel model. Using the interval mappings, we were able to examine in detail the bifurcations that underlie the complex activity transitions between: tonic spiking and bursting, bursting and mixed-mode oscillations, and finally, mixed-mode oscillations and quiescence in the FitzHugh-Nagumo-Rinzel model. We illustrate the wealth of information, qualitative and quantitati...
Directory of Open Access Journals (Sweden)
Slah Bahloul
2017-03-01
Full Text Available The objective of this paper is to study the impact of conventional stock market return and volatility and various macroeconomic variables (including inflation rate, short-term interest rate, the slope of the yield curve and money supply on Islamic stock markets returns for twenty developed and emerging markets using Markov switching regression models. The empirical results for the period 2002–2014 show that both developed and emerging Islamic stock indices are influenced by conventional stock indices returns and money supply for both the low and high volatility regimes. However, the other macroeconomic variables fail to explain the dynamics of Islamic stock indices especially in the high volatility regime. Similar conclusions are obtained by using the MS-VAR model.
Bayesian Option Pricing Framework with Stochastic Volatility for FX Data
Directory of Open Access Journals (Sweden)
Ying Wang
2016-12-01
Full Text Available The application of stochastic volatility (SV models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters. When option data are insufficient or unavailable, market practitioners must estimate the model from the historical returns of the underlying asset and then transform the resulting model into its risk-neutral equivalent. However, the likelihood function of an SV model can only be expressed in a high-dimensional integration, which makes the estimation a highly challenging task. The Bayesian approach has been the classical way to estimate SV models under the data-generating (physical probability measure, but the transformation from the estimated physical dynamic into its risk-neutral counterpart has not been addressed. Inspired by the generalized autoregressive conditional heteroskedasticity (GARCH option pricing approach by Duan in 1995, we propose an SV model that enables us to simultaneously and conveniently perform Bayesian inference and transformation into risk-neutral dynamics. Our model relaxes the normality assumption on innovations of both return and volatility processes, and our empirical study shows that the estimated option prices generate realistic implied volatility smile shapes. In addition, the volatility premium is almost flat across strike prices, so adding a few option data to the historical time series of the underlying asset can greatly improve the estimation of option prices.
Directory of Open Access Journals (Sweden)
Young Wook Han
2014-03-01
Full Text Available This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes, this paper first applies both the parametric FIGARCH model and the semi-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility dependency of the daily returns. The estimation results reflect that the long memory volatility dependency of the KRW-USD is generally greater than that of the JPY-USD returns and the long memory dependency of the two returns appears to be invariant to temporal aggregation. And, the two financial crises appear to affect the volatility dynamics of all the returns by inducing greater long memory dependency in the volatility process of the exchange returns, but the degree of the effects of the two crises seems to be different on the exchange rates.
Volatility Behaviors of Financial Time Series by Percolation System on Sierpinski Carpet Lattice
Pei, Anqi; Wang, Jun
2015-01-01
The financial time series is simulated and investigated by the percolation system on the Sierpinski carpet lattice, where percolation is usually employed to describe the behavior of connected clusters in a random graph, and the Sierpinski carpet lattice is a graph which corresponds the fractal — Sierpinski carpet. To study the fluctuation behavior of returns for the financial model and the Shanghai Composite Index, we establish a daily volatility measure — multifractal volatility (MFV) measure to obtain MFV series, which have long-range cross-correlations with squared daily return series. The autoregressive fractionally integrated moving average (ARFIMA) model is used to analyze the MFV series, which performs better when compared to other volatility series. By a comparative study of the multifractality and volatility analysis of the data, the simulation data of the proposed model exhibits very similar behaviors to those of the real stock index, which indicates somewhat rationality of the model to the market application.
Interval methods: An introduction
DEFF Research Database (Denmark)
Achenie, L.E.K.; Kreinovich, V.; Madsen, Kaj
2006-01-01
This chapter contains selected papers presented at the Minisymposium on Interval Methods of the PARA'04 Workshop '' State-of-the-Art in Scientific Computing ''. The emphasis of the workshop was on high-performance computing (HPC). The ongoing development of ever more advanced computers provides...... the potential for solving increasingly difficult computational problems. However, given the complexity of modern computer architectures, the task of realizing this potential needs careful attention. A main concern of HPC is the development of software that optimizes the performance of a given computer....... An important characteristic of the computer performance in scientific computing is the accuracy of the Computation results. Often, we can estimate this accuracy by using traditional statistical techniques. However, in many practical situations, we do not know the probability distributions of different...
International Nuclear Information System (INIS)
Turko, B.T.
1983-10-01
A CAMAC based modular multichannel interval timer is described. The timer comprises twelve high resolution time digitizers with a common start enabling twelve independent stop inputs. Ten time ranges from 2.5 μs to 1.3 μs can be preset. Time can be read out in twelve 24-bit words either via CAMAC Crate Controller or an external FIFO register. LSB time calibration is 78.125 ps. An additional word reads out the operational status of twelve stop channels. The system consists of two modules. The analog module contains a reference clock and 13 analog time stretchers. The digital module contains counters, logic and interface circuits. The timer has an excellent differential linearity, thermal stability and crosstalk free performance
Experimenting with musical intervals
Lo Presto, Michael C.
2003-07-01
When two tuning forks of different frequency are sounded simultaneously the result is a complex wave with a repetition frequency that is the fundamental of the harmonic series to which both frequencies belong. The ear perceives this 'musical interval' as a single musical pitch with a sound quality produced by the harmonic spectrum responsible for the waveform. This waveform can be captured and displayed with data collection hardware and software. The fundamental frequency can then be calculated and compared with what would be expected from the frequencies of the tuning forks. Also, graphing software can be used to determine equations for the waveforms and predict their shapes. This experiment could be used in an introductory physics or musical acoustics course as a practical lesson in superposition of waves, basic Fourier series and the relationship between some of the ear's subjective perceptions of sound and the physical properties of the waves that cause them.
DEFF Research Database (Denmark)
Shaharudin, Mohd Rizaimy; Govindan, Kannan; Zailani, Suhaiza
2017-01-01
The aim of this study is to examine the extent to which product returns motivate manufacturing firms to adopt closed-loop supply chain activities that influence the effectiveness of reverse supply chains. The hypotheses have been tested using data from a sample of 150 environmental management...... system ISO 14001 certified manufacturing firms in Malaysia through the census sampling approach. The results of the empirical test using LISREL Version 8.70 for the structural equation modeling support the fundamental explanation of the influence of the institutional forces towards the adoption of closed...... eventually impacts the firm's effectiveness in the reverse supply chain. The findings also help managers to understand the factors that can improve the outcome of the adoption of closed-loop supply chain activities by intensifying the extent of involvement in product returns, which provides a valuable...
Monitoring volatile anaesthetic agents
International Nuclear Information System (INIS)
Russell, W.J.
2000-01-01
Full text: The methods that have been used for monitoring volatile anaesthetic agents depend on some physical property such as Density, Refractometry, Mass, Solubility, Raman scattering, or Infra-red absorption. Today, refractometry and infra-red techniques are the most common. Refractometry is used for the calibration of vaporizers. All anaesthetic agents increase the refractive index of the carrier gas. Provided the mixture is known then the refractive change measures the concentration of the volatile anaesthetic agent. Raman Scattering is when energy hits a molecule a very small fraction of the energy is absorbed and re-emitted at one or more lower frequencies. The shift in frequency is a function of the chemical bonds and is a fingerprint of the substance irradiated. Electromagnetic (Infra-red) has been the commonest method of detection of volatile agents. Most systems use a subtractive system, i.e. the agent in the sampling cell absorbed some of the infrared energy and the photo-detector therefore received less energy. A different approach is where the absorbed energy is converted into a pressure change and detected as sound (Acoustic monitor). This gives a more stable zero reference. More recently, the detector systems have used multiple narrow-band wavelengths in the infrared bands and by shape matching or matrix computing specific agent identification is achieved and the concentration calculated. In the early Datex AS3 monitors, a spectral sweep across the 3 micron infrared band was used to create spectral fingerprints. The recently released AS3 monitors use a different system with five very narrow band filters in the 8-10 micron region. The transmission through each of these filters is a value in a matrix which is solved by a micro computer to identify the agent and its concentration. These monitors can assist in improving the safety and efficiency of our anaesthetics but do not ensure that the patient is completely anaesthetized. Copyright (2000
Monitoring volatile anaesthetic agents
Energy Technology Data Exchange (ETDEWEB)
Russell, W J [Royal Adelaide Hospital, SA (Australia). Department of Anaesthesia and Intensive Care
2000-12-01
Full text: The methods that have been used for monitoring volatile anaesthetic agents depend on some physical property such as Density, Refractometry, Mass, Solubility, Raman scattering, or Infra-red absorption. Today, refractometry and infra-red techniques are the most common. Refractometry is used for the calibration of vaporizers. All anaesthetic agents increase the refractive index of the carrier gas. Provided the mixture is known then the refractive change measures the concentration of the volatile anaesthetic agent. Raman Scattering is when energy hits a molecule a very small fraction of the energy is absorbed and re-emitted at one or more lower frequencies. The shift in frequency is a function of the chemical bonds and is a fingerprint of the substance irradiated. Electromagnetic (Infra-red) has been the commonest method of detection of volatile agents. Most systems use a subtractive system, i.e. the agent in the sampling cell absorbed some of the infrared energy and the photo-detector therefore received less energy. A different approach is where the absorbed energy is converted into a pressure change and detected as sound (Acoustic monitor). This gives a more stable zero reference. More recently, the detector systems have used multiple narrow-band wavelengths in the infrared bands and by shape matching or matrix computing specific agent identification is achieved and the concentration calculated. In the early Datex AS3 monitors, a spectral sweep across the 3 micron infrared band was used to create spectral fingerprints. The recently released AS3 monitors use a different system with five very narrow band filters in the 8-10 micron region. The transmission through each of these filters is a value in a matrix which is solved by a micro computer to identify the agent and its concentration. These monitors can assist in improving the safety and efficiency of our anaesthetics but do not ensure that the patient is completely anaesthetized. Copyright (2000
Ambient Volatility of Triethyl Phosphate
2017-08-01
of materials is predictable using Raoult’s law. This report details the measurement of the effect of water vapor partial pressure on the volatility...empirical correlation taking into account nonideal behavior was developed to enable estimation of TEPO volatility at any combination of ambient...of the second component is expected to be one-half as much as in the absence of water vapor. Similarly, the measured volatility of the second
Stock Market Integration and Volatility Spillover:India and its Major Asian Counterparts
Mukherjee, Dr. Kedar nath; Mishra, Dr. R. K.
2008-01-01
Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries over a period from November 1997 to April 2008 is studied. Daily opening and closing prices of all major equity indices from the sample countries are examined by applying the GARCH model [Engle (1982) and Bollerslev (1986)] to explore the possibility of stock market integration and volatility spillover among India and its major Asian counterparties. Apart from different degre...
On the economic benefit of utility based estimation of a volatility model
Adam Clements; Annastiina Silvennoinen
2009-01-01
Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation. Traditionally, the parameters of econometric models used to generate volatility forecasts are estimated in a statistical setting and subsequently used in an economic setting such as portfolio allocation. Differences in the criteria under which the model is estimated and applied may inhibit reduce the overall economic benefit of a model in the context of portfolio allocation. Thi...
Allan deviation analysis of financial return series
Hernández-Pérez, R.
2012-05-01
We perform a scaling analysis for the return series of different financial assets applying the Allan deviation (ADEV), which is used in the time and frequency metrology to characterize quantitatively the stability of frequency standards since it has demonstrated to be a robust quantity to analyze fluctuations of non-stationary time series for different observation intervals. The data used are opening price daily series for assets from different markets during a time span of around ten years. We found that the ADEV results for the return series at short scales resemble those expected for an uncorrelated series, consistent with the efficient market hypothesis. On the other hand, the ADEV results for absolute return series for short scales (first one or two decades) decrease following approximately a scaling relation up to a point that is different for almost each asset, after which the ADEV deviates from scaling, which suggests that the presence of clustering, long-range dependence and non-stationarity signatures in the series drive the results for large observation intervals.
Energy Technology Data Exchange (ETDEWEB)
Loughrey, C T
1939-08-24
To remove volatiles from solids, such as oil shale, gases, and/or vapours are passed through a mass of the materials, the vapours and gases separated, and the vapours condensed. The volatile-containing solid materials are fed to a retort, and a shaft is driven to rotate an impeller so as to displace the liquid and create a vortex tube, which draws in gas from the atmosphere through an intake, twyer, interstices in the material in the retort, a conduit, chamber, tubes, another chamber and cylinder. This gas is carried outwardly and upwardly by the vortices in the liquid and is carried to discharge through three conduits. The vapours entrained by the gas are part condensed in the liquid and the remainder directed to a condenser. Steam may be delivered to the twyer through a nozzle of a pipe, with or without air, and combustible hydrocarbon fuel may be fed through the burner nozzle or solid fuel may be directed from feeder and combusted in the twyer.
Molecular plant volatile communication.
Holopainen, Jarmo K; Blande, James D
2012-01-01
Plants produce a wide array of volatile organic compounds (VOCs) which have multiple functions as internal plant hormones (e.g., ethylene, methyl jasmonate and methyl salicylate), in communication with conspecific and heterospecific plants and in communication with organisms of second (herbivores and pollinators) and third (enemies of herbivores) trophic levels. Species specific VOCs normally repel polyphagous herbivores and those specialised on other plant species, but may attract specialist herbivores and their natural enemies, which use VOCs as host location cues. Attraction of predators and parasitoids by VOCs is considered an evolved indirect defence, whereby plants are able to indirectly reduce biotic stress caused by damaging herbivores. In this chapter we review these interactions where VOCs are known to play a crucial role. We then discuss the importance of volatile communication in self and nonself detection. VOCs are suggested to appear in soil ecosystems where distinction of own roots from neighbours roots is essential to optimise root growth, but limited evidence of above-ground plant self-recognition is available.
It’s all about volatility of volatility
DEFF Research Database (Denmark)
Grassi, Stefano; Santucci de Magistris, Paolo
2015-01-01
The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model f...
Assessing Day-to-Day Volatility: Does the Trading Time Matter?
Directory of Open Access Journals (Sweden)
José Valentim Machado Vicente
2014-06-01
Full Text Available The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investors as the distribution of standard deviations of daily returns calculated from intraday prices collected randomly. We find that this distribution has a high degree of dispersion. This means that different investors may not share the same opinion regarding the variability of returns of the same asset. Moreover, the close-to-close volatility is often less than the median of the volatility distribution perceived by investors while the open-to-open volatility is greater than that statistic. From a practical point of view, our results indicate that volatilities estimated using traditional samples of daily returns (i.e., close-to-close and open-to-open returns may not do a good job when used as inputs in financial models since they may not properly capture the risk investors are exposed.
Marital Status and Return to Work After Living Kidney Donation.
Frech, Adrianne; Natale, Ginny; Hayes, Don; Tumin, Dmitry
2018-01-01
Living kidney donation is safe and effective, but patients in need of a transplant continue to outnumber donors. Disincentives to living donation include lost income, risk of job loss, perioperative complications, and unreimbursed medical expenses. This study uses US registry and follow-up data on living kidney donors from 2013 to 2015 to identify social predictors of return to work across gender following living kidney donation. Using logistic regression, we find that predictors of return to work following living kidney donation differ for women and men. Among women, age, education, smoking status, and procedure type are associated with return to work. Among men, education, procedure type, and hospital readmission within 6 weeks postdonation are associated with return to work. Notably, single and divorced men are less likely to return to work compared to married men (odds ratio [OR] for single men 0.51, 95% confidence interval [CI], 0.37-0.69, P donation.
Stochastic arbitrage return and its implication for option pricing
Fedotov, Sergei; Panayides, Stephanos
2005-01-01
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility “smile” can also be explained in terms of random arbitrage opportunities.
Mars Sample Return Architecture Overview
Edwards, C. D.; Vijendran, S.
2018-04-01
NASA and ESA are exploring potential concepts for a Sample Retrieval Lander and Earth Return Orbiter that could return samples planned to be collected and cached by the Mars 2020 rover mission. We provide an overview of the Mars Sample Return architecture.
Political institutions and economic volatility
Klomp, Jeroen; de Haan, Jakob
We examine the effect of political 'institutions' on economic growth volatility, using data from more than 100 countries over the period 1960 to 2005, taking into account various control variables as suggested in previous studies. Our indicator of volatility is the relative standard deviation of the
Fundamental volatility is regime specific
Arnold, I.J.M.; MacDonald, R.; Vries, de C.G.
2006-01-01
A widely held notion holds that freely floating exchange rates are excessively volatile when judged against fundamentals and when moving from fixed to floating exchange rates. We re-examine the data and conclude that the disparity between the fundamentals and exchange rate volatility is more
International Nuclear Information System (INIS)
Silseth, May Liss
1998-01-01
The goal is: Not more emission of volatile organic compounds (VOCs) than necessary. The items discussed in this presentation are the VOCs, how to calculate emission of VOCs, how to reduce or avoid them, and different recovery processes. The largest source of Norwegian emissions of non methane VOCs (NMVOCs) is offshore loading of raw petroleum. Emissions of VOCs should be reduced mainly for two reasons: (1) on sunny days NMVOCs may react with NOx to form ozon and smog close to the surface, (2) ozone and smog close to the surface may be harmful to plants and animals, and they are hazardous to human health. As for the calculation of VOC emissions, the VOCON project will release the calculation program HCGASS in 1999. This project is a cooperative project headed by SINTEF/Marintek
Governmentally amplified output volatility
Funashima, Yoshito
2016-11-01
Predominant government behavior is decomposed by frequency into several periodic components: updating cycles of infrastructure, Kuznets cycles, fiscal policy over business cycles, and election cycles. Little is known, however, about the theoretical impact of such cyclical behavior in public finance on output fluctuations. Based on a standard neoclassical growth model, this study intends to examine the frequency at which public investment cycles are relevant to output fluctuations. We find an inverted U-shaped relationship between output volatility and length of cycle in public investment. This implies that periodic behavior in public investment at a certain frequency range can cause aggravated output resonance. Moreover, we present an empirical analysis to test the theoretical implication, using the U.S. data in the period from 1968 to 2015. The empirical results suggest that such resonance phenomena change from low to high frequency.
Jakartans, Institutionally Volatile
Directory of Open Access Journals (Sweden)
Masaaki OKAMOTO
2014-01-01
Full Text Available Jakarta recently has gained even more central political attention in Indonesia since Joko Widodo (Jokowi and Basuki Purnama (Ahok became, respectively, the provinceâ€™s governor and vice-governor in 2012. They started a series of eye-catching and populist programmes, drawing popular support from not only the people of Jakarta, but also among Indonesians in general. Jokowi is now even the most popular candidate for the presidential election in 2014. Their rise is phenomenal in this sense, but it is understandable if we look at Jakartan votersâ€™ behaviour and the institutional arrangement that leads to it. Jakarta, as the national capital, has a unique arrangement in that the province has no autonomous regency or city. This paper argues that this arrangement causes Jakartans to be more politically volatile and describes how this institutional arrangement was created by analysing the minutes of the meeting to discuss the laws concerning Jakarta Province.
Emerging non-volatile memories
Hong, Seungbum; Wouters, Dirk
2014-01-01
This book is an introduction to the fundamentals of emerging non-volatile memories and provides an overview of future trends in the field. Readers will find coverage of seven important memory technologies, including Ferroelectric Random Access Memory (FeRAM), Ferromagnetic RAM (FMRAM), Multiferroic RAM (MFRAM), Phase-Change Memories (PCM), Oxide-based Resistive RAM (RRAM), Probe Storage, and Polymer Memories. Chapters are structured to reflect diffusions and clashes between different topics. Emerging Non-Volatile Memories is an ideal book for graduate students, faculty, and professionals working in the area of non-volatile memory. This book also: Covers key memory technologies, including Ferroelectric Random Access Memory (FeRAM), Ferromagnetic RAM (FMRAM), and Multiferroic RAM (MFRAM), among others. Provides an overview of non-volatile memory fundamentals. Broadens readers' understanding of future trends in non-volatile memories.
Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity
Lau, Marco Chi Keung; Vigne, Samuel A.; Wang, Shixuan; Yarovaya, Larisa
2017-01-01
This paper investigates the relationship between white precious metals and gold, oil and global equity by means of spillovers and volatility transmission. Relying on the recently introduced ETFs, this study is the first to analyse return spillovers derived from an E-GARCH model and to take into account frequency dynamics to understand changes in connectedness across periods of time. Results uncover numerous channels of return transmission across the selected ETF markets over the last 10 years...
Modelling the return distribution of salmon farming companies : a quantile regression approach
Jacobsen, Fredrik
2017-01-01
The salmon farming industry has gained increased attention from investors, portfolio managers, financial analysts and other stakeholders the recent years. Despite this development, very little is known about the risk and return of salmon farming company stocks, and especially how the relationship between risk and return varies under different market conditions, given the volatile nature of the salmon farming industry. We approach this problem by using quantile regression to examine the relati...
Nonparametric methods for volatility density estimation
Es, van Bert; Spreij, P.J.C.; Zanten, van J.H.
2009-01-01
Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the density of the volatility process. Both models based on
Fractal asset returns, arbitrage and option pricing
International Nuclear Information System (INIS)
Potgieter, Petrus H.
2009-01-01
In the discrete-time fractional random walk model a market with one risky asset affords an arbitrage opportunity as described by Cutland et al. [Cutland NJ, Kopp PE, Willinger W. Stock price returns and the Joseph effect: a fractional version of the Black-Scholes model. In: Russo Francesco, Bolthausen Erwin, Dozzi Marco, editors. Seminar on 6 stochastic analysis, random fields and applications, pp. 327-351. Seminar on stochastic analysis, random fields and applications. Ascona: Centro Stefano Franscini; 1993, Progress in probability 36. Birkhauser Verlag; 1995.] and Sottinen [Sottinen Tommi. Fractional Brownian motion, random walks and binary market models. Finance Stoch 2001;5(3):343-355]. We briefly discuss these results and compute a numerical example in a fractional binomial model as illustration and mention an option pricing model for assets the returns of which are driven by a fractional Brownian motion [Yaozhong Hu, Bernt Oksendal. Fractional white noise calculus and applications to finance. Infin Dimens Anal Quant Probability Rel Top 2003;6:1-32, ISSN 0219-0257; Fajardo J, Cajueiro DO. Volatility estimation and option pricing with fractional Brownian motion, October 2003. Available from: (http://ideas.repec.org/p/ibm/finlab/flwp53.html)].
DEFF Research Database (Denmark)
Dalgaard, Carl-Johan Lars; Hansen, Henrik
2017-01-01
We estimate the average rate of return on investments financed by aid and by domestic resource mobilisation, using aggregate data. Both returns are expected to vary across countries and time. Consequently we develop a correlated random coefficients model to estimate the average returns. Across...... different estimators and two different data sources for GDP and investment our findings are remarkably robust; the average gross return on ‘aid investments’ is about 20 per cent. This is in accord with micro estimates of the economic rate of return on aid projects and with aggregate estimates of the rate...
DEFF Research Database (Denmark)
Bach, Christian; Christensen, Bent Jesper
process is downward biased. Implied volatility performs better than any of the alternative realized measures when forecasting future integrated volatility. The results are largely similar across the stock market (S&P 500), bond market (30-year U.S. T-bond), and foreign currency exchange market ($/£ )....
Su, Zhi; Shu, Tengjia; Yin, Libo
2018-05-01
Inspired by Herskovic et al. (2016), we investigate the pricing effect of the firm-level common idiosyncratic volatility (CIV) in China's A-Share market. Return tests indicate that lower CIV risk loadings bring higher returns significantly, while the pricing function of market volatility (MV) is inconsistent. Strategy that goes long the highest CIV-beta quintile and short the lowest CIV-beta quintile brings an annualized average return of 5%-7%. Our findings supplement Herskovic et al. (2016) by confirming a significantly negative relationship between CIV and stock returns in a developing market.
DEFF Research Database (Denmark)
Olwig, Karen Fog
2012-01-01
Research on female migrant caregivers has tended to focus upon the emotional and social problems they encounter working abroad, given women’s traditional role as caregivers for their own families. This article analyses how Caribbean women who have returned after a period abroad as domestic workers...... inscribe their migration experiences within the gendered narrative of the good relative who migrates to help the family left behind and therefore deserves social recognition in the community of origin. It argues that this narrative allows the women to both affirm and reinterpret local family and gender...... roles within the context of migration. This analysis points to the close connection between narrative structures, accounts of migration experiences, and self-presentations and suggests that narratives about family and gender roles not only reflect people’s lives, but are also a malleable resource...
Directory of Open Access Journals (Sweden)
Abson David J
2013-01-01
Full Text Available Abstract Background Conventional agriculture is increasingly based on highly specialized, highly productive farms. It has been suggested that 1 this specialization leads to farms that lack resilience to changing market and environmental conditions; and 2 that by decreasing agricultural diversity, the resilience of the farming system also decreases. Methods We used agricultural gross margin (GM forecasts from 1966 to 2010 and remote sensing data from agricultural landscapes in the lowland UK, in conjunction with modern portfolio theory, to test the hypothesis that decreasing land-use diversity results in landscapes that provide higher, but more volatile, economic returns. We considered the role of spatial scale on the expected levels of volatility and resilience of agricultural returns. Results We found that: 1 there was a strong linear trade-off between expected GMs and the expected volatility of those GMs in real lowland agricultural landscapes in the UK; 2 land-use diversification was negatively correlated with expected GMs from agriculture, and positively correlated with decreasing expected volatility in GMs; 3 the resilience of agricultural returns was positively correlated with the diversity of agricultural land use, and the resilience of agricultural returns rose quickly with increased land-holding size at small spatial extents, but this effect diminished after landholdings reached 12,000 hectares. Conclusions Land-use diversity may have an important role in ensuring resilient agricultural returns in the face of uncertain market and environmental conditions, and land-holding size plays a pivotal role in determining the relationships between resilience and returns at a landscape scale. Creating finer-grained land-use patterns based on pre-existing local land uses may increase the resilience of individual farms, while maintaining aggregate yield across landscapes.
Saad, Shakila; Ahmad, Noryati; Jaffar, Maheran Mohd
2017-11-01
Nowadays, the study on volatility concept especially in stock market has gained so much attention from a group of people engaged in financial and economic sectors. The applications of volatility concept in financial economics can be seen in valuation of option pricing, estimation of financial derivatives, hedging the investment risk and etc. There are various ways to measure the volatility value. However for this study, two methods are used; the simple standard deviation and Exponentially Weighted Moving Average (EWMA). The focus of this study is to measure the volatility on three different sectors of business in Malaysia, called primary, secondary and tertiary by using both methods. The daily and annual volatilities of different business sector based on stock prices for the period of 1 January 2014 to December 2014 have been calculated in this study. Result shows that different patterns of the closing stock prices and return give different volatility values when calculating using simple method and EWMA method.
Volatiles in the Martian regolith
International Nuclear Information System (INIS)
Clark, B.C.; Baird, A.K.
1979-01-01
An inventory of released volatiles on Mars has been derived based upon Viking measurements of atmospheric and surface chemical composition, and upon the inferred mineralogy of a ubiquitous regolith, assumed to average 200m in depth. This model is consistent with the relative abundances of volatiles (except for S) on the Earth's surface, but implies one-fifteenth of the volatile release of Earth if starting materials were comparable. All constituents are accommodated as chemical components of, or absorbed phases on, regolith materials--without the necessity of invoking unobservable deposits of carbonates, nitrates, or permafrost ice
Computing return times or return periods with rare event algorithms
Lestang, Thibault; Ragone, Francesco; Bréhier, Charles-Edouard; Herbert, Corentin; Bouchet, Freddy
2018-04-01
The average time between two occurrences of the same event, referred to as its return time (or return period), is a useful statistical concept for practical applications. For instance insurances or public agencies may be interested by the return time of a 10 m flood of the Seine river in Paris. However, due to their scarcity, reliably estimating return times for rare events is very difficult using either observational data or direct numerical simulations. For rare events, an estimator for return times can be built from the extrema of the observable on trajectory blocks. Here, we show that this estimator can be improved to remain accurate for return times of the order of the block size. More importantly, we show that this approach can be generalised to estimate return times from numerical algorithms specifically designed to sample rare events. So far those algorithms often compute probabilities, rather than return times. The approach we propose provides a computationally extremely efficient way to estimate numerically the return times of rare events for a dynamical system, gaining several orders of magnitude of computational costs. We illustrate the method on two kinds of observables, instantaneous and time-averaged, using two different rare event algorithms, for a simple stochastic process, the Ornstein–Uhlenbeck process. As an example of realistic applications to complex systems, we finally discuss extreme values of the drag on an object in a turbulent flow.
Metamorphic Perspectives of Subduction Zone Volatiles Cycling
Bebout, G. E.
2008-12-01
Field study of HP/UHP metamorphic rocks provides "ground-truthing" for experimental and theoretical petrologic studies estimating extents of deep volatiles subduction, and provides information regarding devolatilization and deep subduction-zone fluid flow that can be used to reconcile estimates of subduction inputs and arc volcanic outputs for volatiles such as H2O, N, and C. Considerable attention has been paid to H2O subduction in various bulk compositions, and, based on calculated phase assemblages, it is thought that a large fraction of the initially structurally bound H2O is subducted to, and beyond, subarc regions in most modern subduction zones (Hacker, 2008, G-cubed). Field studies of HP/UHP mafic and sedimentary rocks demonstrate the impressive retention of volatiles (and fluid-mobile elements) to depths approaching those beneath arcs. At the slab-mantle interface, high-variance lithologies containing hydrous phases such as mica, amphibole, talc, and chlorite could further stabilize H2O to great depth. Trench hydration in sub-crustal parts of oceanic lithosphere could profoundly increase subduction inputs of particularly H2O, and massive flux of H2O-rich fluids from these regions into the slab-mantle interface could lead to extensive metasomatism. Consideration of sedimentary N concentrations and δ15N at ODP Site 1039 (Li and Bebout, 2005, JGR), together with estimates of the N concentration of subducting altered oceanic crust (AOC), indicates that ~42% of the N subducting beneath Nicaragua is returned in the corresponding volcanic arc (Elkins et al., 2006, GCA). Study of N in HP/UHP sedimentary and basaltic rocks indicates that much of the N initially subducted in these lithologies would be retained to depths approaching 100 km and thus available for addition to arcs. The more altered upper part of subducting oceanic crust most likely to contribute to arcs has sediment-like δ15NAir (0 to +10 per mil; Li et al., 2007, GCA), and study of HP/UHP eclogites
The pricing of long and short run variance and correlation risk in stock returns
Cosemans, M.
2011-01-01
This paper studies the pricing of long and short run variance and correlation risk. The predictive power of the market variance risk premium for returns is driven by the correlation risk premium and the systematic part of individual variance premia. Furthermore, I find that aggregate volatility risk
Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns
Kaeck, Andreas; Rodrigues, Paulo; Seeger, Norman J.
We apply a range of out-of-sample specification tests to more than forty competing stochastic volatility models to address how model complexity affects out-of-sample performance. Using daily S&P 500 index returns, model confidence set estimations provide strong evidence that the most important model
Directory of Open Access Journals (Sweden)
Emlyn Flint
2017-03-01
Full Text Available Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed. However, many researchers have shown that this assumption is violated in practice. Such violations include the statistical properties of heavy tails, volatility clustering, leptokurtosis and long memory. This paper considers the pricing of contingent claims when the underlying is assumed to display long memory, an issue that has heretofore not received much attention. Aim: We address several theoretical and practical issues in option pricing and implied volatility calibration in a fractional Black–Scholes market. We introduce a novel eight-parameter fractional Black–Scholes-inspired (FBSI model for the implied volatility surface, and consider in depth the issue of calibration. One of the main benefits of such a model is that it allows one to decompose implied volatility into an independent long-memory component – captured by an implied Hurst exponent – and a conditional implied volatility component. Such a decomposition has useful applications in the areas of derivatives trading, risk management, delta hedging and dynamic asset allocation. Setting: The proposed FBSI volatility model is calibrated to South African equity index options data as well as South African Rand/American Dollar currency options data. However, given the focus on the theoretical development of the model, the results in this paper are applicable across all financial markets. Methods: The FBSI model essentially combines a deterministic function form of the 1-year implied volatility skew with a separate deterministic function for the implied Hurst exponent, thus allowing one to model both observed implied volatility surfaces as well as decompose them into independent volatility and long-memory components respectively. Calibration of the model makes use of a quasi-explicit weighted
International Nuclear Information System (INIS)
Ammerich, M.
2009-01-01
This article goes back over the incidents occurring during the summer 2008, that is to say the uranium release from the Socatri facility in the South of France. From this point, the purpose studies the radiological situation of the Camargue seashore; the levels of radioactivity are from 3 to thirty times higher than these ones expected in this area, but the natural radioactivity with thorium and uranium coming from the granitic massifs erosion brings an important part. It is difficult to make the part between human and natural contribution to ambient radioactivity. However, it appears that to limit the water consumption until the time of dilution played its part was absolutely necessary. Then, because it is question of water, the drinking water is tackled. Some mineral waters go over the recommended limits of doses. A last return to the past with the radioactive watches, but this time with actual watches that activate detection. Two watches contained promethium 147, 147 Pm is a beta emitter but also gamma emitter. To end, in Ireland and Great Britain, some fire detectors contain americium 241. In fact, this article constitutes a summary of different abnormalities around radioactivity. (N.C.)
Directory of Open Access Journals (Sweden)
S. Griffioen
2011-06-01
Full Text Available Religion is back in Philosophy as a respectable subject. Part 1 first charts what MacIntyre, Taylor and Derrida have meant in this regard. Subsequently, it turns to the Enlightenment to determine what constituted the breakthrough. It is found that even where the Enlightenment gave maximum room to religion i.e. as a civic religion and as “religion of the heart” it still excluded a constitutive relation to a transcendent revelation. Part 2 centres on the religion-faith distinction in reformational philosophy. Similar to the Enlightenment, religion is understood as part of human nature. However, human nature itself is conceived as intrinsically religious and depending for its light on revelation. Secondly, “religion” in this context also encompasses idols and religious substitutes. Thus, it directs attention to shopping malls, football stadiums, health policy, et cetera, as possible contexts of a return of religion. Examples show that this has become a popular approach. However, most of the publications surveyed fail to distinguish between an “analogical” and a “pistically qualified” use of religion, and are open to exaggerations (the shopping mall and football stadiums as temples, etc.. At this junction, the relevance is shown of the religion-faith distinction as well as of Elaine Botha’s theory of metaphors. The epilogue offers an integration of parts one and two.
The Effect of Stock Return Sequences on Trading Volumes
Directory of Open Access Journals (Sweden)
Andrey Kudryavtsev
2017-10-01
Full Text Available The present study explores the effect of the gambler’s fallacy on stock trading volumes. I hypothesize that if a stock’s price rises (falls during a number of consecutive trading days, then the gambler’s fallacy may cause at least some of the investors to expect that the stock’s price “has” to subsequently fall (rise, and thus, to increase their willingness to sell (buy the stock, resulting in a stronger degree of disagreement between the investors and a higher-than-usual stock trading volume on the first day when the stock’s price indeed falls (rises. Employing a large sample of daily price and trading volume data, I document that following relatively long sequences of the same-sign stock returns, on the days when the sign is reversed, the trading activity in the respective stocks is abnormally high. Moreover, average abnormal trading volumes gradually and significantly increase with the length of the preceding return sequence. The effect is slightly more pronounced following the sequences of negative stock returns, and remains significant after controlling for other potentially influential factors, including contemporaneous and lagged actual and absolute stock returns, historical stock returns and volatilities, and company-specific events, such as earnings announcements and dividend payments.
International Nuclear Information System (INIS)
Anon.
1990-01-01
In the first of what it says will be annual cost-of-capital proceedings to set returns on equity and rates of return on rate base for electric utilities, the California Public Utilities Commission (PUC) lowered from 1989 levels the 1990 returns on common equity (ROE) and rates of return (ROR) for the state's four major investor-owned electric utilities. Under this fast-track procedure, by May 8 of every year, utilities will have to file an application for rate adjustments that reflect their projected costs of capital for the following year
DEFF Research Database (Denmark)
Dalgaard, Carl-Johan Lars; Hansen, Henrik
We investigate the marginal productivity of investment across countries. The aim is to estimate the return on investments financed by foreign aid and by domestic resource mobilization, using aggregate data. Both returns are expected to vary across countries and time. Consequently we develop...... a correlated random coefficients model, to estimate the average aggregate return on ‘aid investments’ and ‘domestic investments’. Across different estimators and two different sources for GDP and investment data our findings are remarkably robust; the average gross return on ‘aid investments’ is about 20 per...
Intertemporal Risk-Return Trade-off in Foreign Exchange Rates
Christiansen, Charlotte
2010-01-01
We investigate the intertemporal risk-return trade-off of foreign ex-change (FX) rates for ten currencies quoted against the USD. For each currency,we use three risk measures simultaneously that pertain to that currency; its re-alized volatility, its realized skewness, and its value-at-risk. We apply monthlyFX excess returns and monthly FX risk measures calculated from daily ob-servations. We find that there is a positive and signi…cant contemporaneousrisk-return trade-off for most currencies...
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
DEFF Research Database (Denmark)
Halbleib, Roxana; Voev, Valeri
2011-01-01
This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariancematrices, the model generates......, regardless of the type of utility function or return distribution, would be better-off from using this model than from using some standard approaches....
DEFF Research Database (Denmark)
Nolte, Ingmar; Voev, Valeri
The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for a joint inference on integrated volatility (IV), noise moments and price-noise relations. In the iid noise...
Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels
DEFF Research Database (Denmark)
Babaoglu, Kadir; Christoffersen, Peter; Heston, Steven L.
We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A U-shaped pricing kernel is economically most im...
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger
We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply...
The Effect of Long Memory in Volatility on Stock Market Fluctuations
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2007-01-01
on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive...
The Effect of Long Memory in Volatility on Stock Market Fluctuations
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard
on returns. Asset pricing theory imposes testable cross- equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive...
The Effect of Long Memory in Volatility on Stock Market Fluctuations
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard
on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive...
New Evidence on Price and Volatility Effects of Stock Option Introductions
Kabir, M.R.
1997-01-01
This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands. The effects on both stock returns and volatility are investigated using three types of samples, namely, listing of call options alone,
Bootstrapping realized volatility and realized beta under a local Gaussianity assumption
DEFF Research Database (Denmark)
Hounyo, Ulrich
The main contribution of this paper is to propose a new bootstrap method for statistics based on high frequency returns. The new method exploits the local Gaussianity and the local constancy of volatility of high frequency returns, two assumptions that can simplify inference in the high frequency...... context, as recently explained by Mykland and Zhang (2009). Our main contributions are as follows. First, we show that the local Gaussian bootstrap is firstorder consistent when used to estimate the distributions of realized volatility and ealized betas. Second, we show that the local Gaussian bootstrap...... matches accurately the first four cumulants of realized volatility, implying that this method provides third-order refinements. This is in contrast with the wild bootstrap of Gonçalves and Meddahi (2009), which is only second-order correct. Third, we show that the local Gaussian bootstrap is able...
Hidden temporal order unveiled in stock market volatility variance
Directory of Open Access Journals (Sweden)
Y. Shapira
2011-06-01
Full Text Available When analyzed by standard statistical methods, the time series of the daily return of financial indices appear to behave as Markov random series with no apparent temporal order or memory. This empirical result seems to be counter intuitive since investor are influenced by both short and long term past market behaviors. Consequently much effort has been devoted to unveil hidden temporal order in the market dynamics. Here we show that temporal order is hidden in the series of the variance of the stocks volatility. First we show that the correlation between the variances of the daily returns and means of segments of these time series is very large and thus cannot be the output of random series, unless it has some temporal order in it. Next we show that while the temporal order does not show in the series of the daily return, rather in the variation of the corresponding volatility series. More specifically, we found that the behavior of the shuffled time series is equivalent to that of a random time series, while that of the original time series have large deviations from the expected random behavior, which is the result of temporal structure. We found the same generic behavior in 10 different stock markets from 7 different countries. We also present analysis of specially constructed sequences in order to better understand the origin of the observed temporal order in the market sequences. Each sequence was constructed from segments with equal number of elements taken from algebraic distributions of three different slopes.
Robotic fish tracking method based on suboptimal interval Kalman filter
Tong, Xiaohong; Tang, Chao
2017-11-01
Autonomous Underwater Vehicle (AUV) research focused on tracking and positioning, precise guidance and return to dock and other fields. The robotic fish of AUV has become a hot application in intelligent education, civil and military etc. In nonlinear tracking analysis of robotic fish, which was found that the interval Kalman filter algorithm contains all possible filter results, but the range is wide, relatively conservative, and the interval data vector is uncertain before implementation. This paper proposes a ptimization algorithm of suboptimal interval Kalman filter. Suboptimal interval Kalman filter scheme used the interval inverse matrix with its worst inverse instead, is more approximate nonlinear state equation and measurement equation than the standard interval Kalman filter, increases the accuracy of the nominal dynamic system model, improves the speed and precision of tracking system. Monte-Carlo simulation results show that the optimal trajectory of sub optimal interval Kalman filter algorithm is better than that of the interval Kalman filter method and the standard method of the filter.
Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns
Hu, John Wei-Shan; Lin, Chien-Yu
2014-01-01
The aim of this paper is to examine the impact of temperature shock on both near-month and far-month natural gas and heating oil futures returns by extending the weather and storage models of the previous study. Several notable findings from the empirical studies are presented. First, the expected temperature shock significantly and positively affects both the near-month and far-month natural gas and heating oil futures returns. Next, significant temperature shock has effect on both the conditional mean and volatility of natural gas and heating oil prices. The results indicate that expected inventory surprises significantly and negatively affects the far-month natural gas futures returns. Moreover, volatility of natural gas futures returns is higher on Thursdays and that of near-month heating oil futures returns is higher on Wednesdays than other days. Finally, it is found that storage announcement for natural gas significantly affects near-month and far-month natural gas futures returns. Furthermore, both natural gas and heating oil futures returns are affected more by the weighted average temperature reported by multiple weather reporting stations than that reported by a single weather reporting station. PMID:25133233
Corporate Governance and Equity Returns
Uchida, Shigeru
2012-01-01
This paper analyses the relationship between corporate governance and equity returns from the small investors view point. A primary survey has been conducted to gather the data required to examine the link. Preliminary result of the study shows that the four elements of governance: board structure, transparency, fairness and responsibility are positively related with equity returns.
Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach
Directory of Open Access Journals (Sweden)
Haifeng Guo
2012-01-01
Full Text Available This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors’ objectives. Finally, investment risk can be decreased when we add investment limit to each stock in the portfolio, which indicates our model is useful in practice.
Volatility Properties of Polonium
International Nuclear Information System (INIS)
Eichler, B.
2002-06-01
Thermodynamical constants to describe evaporation processes of polonium are summarized and critically discussed. Additionally, systematic changes of the properties of the chalcogenes are analyzed, empirical correlations are proofed and cyclic processes are balanced. Accordingly, the existing values of entropies for polonium are acceptable. Questionable, however, are those values of enthalpies, which have been deduced from results of the experimental investigations of the vapor pressure temperature dependency, of the melting point, and of the boiling temperatures. Technical difficulties and possible error sources of the measurements resulting from the radioactive decay properties of 210 Po are discussed. Using extrapolative standard enthalpies and entropies as well as their temperature dependency, the equilibrium partial pressure of the monomeric and dimeric polonium above the pure condensed phase and the equilibrium constant of the dimerization reaction in the gas phase are calculated: log p/pa Po (g) = (11.797 ± 0.024) -(9883.4 ± 9.5)/T (for T = 298-600 K); = (10.661 ± 0.057) - (9328.4 ± 4.9)/T (for T = 500-1300 K); log p/pa Po 2 (g) = (13.698 ± 0.049) - (8592.3 ± 19.6)/T (for T = 298-600 K); = (11.424 ± 0.124) - (7584.1 ± 98.1)/T (for T = 500-1300 K); log K (dim) = (-4.895 ± 0.012) + (11071 ± 6)/T. According to these calculations and in contrast to other works, polonium evaporates in the entire temperature range between 298 and 1300 K in the dimeric state. Hence, 'latent heats' of the volatilization processes are clearly larger compared to literature data. Especially in the temperature range of the solid polonium the calculated vapor pressure curve shifts significantly to lower values, whereas the boiling point was almost reproduced by the calculation. The results of the extrapolation for the standard enthalpy of the gaseous monomeric polonium and the dimerization enthalpy ΔH 0 298 Po (g) = 188.9 kJ/mol and ΔH 0 298 (form) Po 2 (g) = 211.5 kJ/mol are
Beber, A.; Brandt, M.W.
2008-01-01
We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic expansions and recessions. We find that the information content of macroeconomic announcements is most important when it contains bad news for bond returns in expansions and, to a
Beber, A.; Brandt, M.W.
2010-01-01
We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news during expansions and recessions. We find that macroeconomic announcements are most important when they contain bad news for bond returns in expansions and, to a lesser extent, good news in
Time-independent models of asset returns revisited
Gillemot, L.; Töyli, J.; Kertesz, J.; Kaski, K.
2000-07-01
In this study we investigate various well-known time-independent models of asset returns being simple normal distribution, Student t-distribution, Lévy, truncated Lévy, general stable distribution, mixed diffusion jump, and compound normal distribution. For this we use Standard and Poor's 500 index data of the New York Stock Exchange, Helsinki Stock Exchange index data describing a small volatile market, and artificial data. The results indicate that all models, excluding the simple normal distribution, are, at least, quite reasonable descriptions of the data. Furthermore, the use of differences instead of logarithmic returns tends to make the data looking visually more Lévy-type distributed than it is. This phenomenon is especially evident in the artificial data that has been generated by an inflated random walk process.
Zeinab Mirzaei; Mohsen Hamidian; Mohammad Khodaei Valahzaghard
2014-01-01
This paper presents an empirical investigation to study the relationship between financial structure on profitability and price volatility of banks’ shares, which are operating in Iran. The proposed study considers the information of 21 Iranian banks over the period 2006-2012. Using some regression techniques, the study has determined that there was a negative relationship between leverage and return on assets but there was not any meaningful relationship between leverage and price volatility...
Leverage effect in financial markets: the retarded volatility model.
Bouchaud, J P; Matacz, A; Potters, M
2001-11-26
We investigate quantitatively the so-called "leverage effect," which corresponds to a negative correlation between past returns and future volatility. For individual stocks this correlation is moderate and decays over 50 days, while for stock indices it is much stronger but decays faster. For individual stocks the magnitude of this correlation has a universal value that can be rationalized in terms of a new "retarded" model which interpolates between a purely additive and a purely multiplicative stochastic process. For stock indices a specific amplification phenomenon seems to be necessary to account for the observed amplitude of the effect.
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Directory of Open Access Journals (Sweden)
Shelton Peiris
2017-12-01
Full Text Available This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV components in order to develop the General Long Memory SV (GLMSV model. We examine the corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample properties via Monte Carlo experiments. We provide empirical evidence by applying the GLMSV model to three exchange rate return series and conjecture that the results of out-of-sample forecasts adequately confirm the use of GLMSV model in certain financial applications.
The price of fixed income market volatility
Mele, Antonio
2015-01-01
Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable...
The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab.
Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael
2012-08-01
As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets.
Volatility Informed Trading in the Options Market: Evidence from India
Directory of Open Access Journals (Sweden)
Rajesh Pathak
2015-12-01
Full Text Available The purpose of this paper is to investigate the trading activity in options market based on information about expected future volatility in spot market. We employ Common Implied Volatility as a measure of expected volatility and options volume and changes in Open Interests as measures of options trading activity. We first test for simultaneous information flow in the two markets using multiple regression technique. Next, we test for information based or hedge based use of options using Trivariate Vector-auto Regression framework. We further consider the classes of options moneyness and the market trends in our analysis to examine if the trader’s preference of options changes with change in description of options intrinsic value and market environment. We use daily closing data of S&P CNX Nifty Index options traded on National Stock Exchange, India. We, for the most part, find negative and significant relationship in contemporaneous regression suggesting active trading by arbitrageurs. A feedback relationship is observed in vector auto regression analysis suggesting that options are traded in India for both information based trading and hedging purposes. We also observe the relationship to be varying when market trends and classes of options moneyness are considered. This indicates that traders are not indifferent in their choice of trading venue when market conditions and factors change. The results of this study are helpful for traders in managing the risk and return of their portfolio based on volatility forecast. This study is distinctive as it examines the scarcely researched area of volatility informed trading in an emerging market set up.
A Comparison of Tail Behaviour of Stock Market Returns
Directory of Open Access Journals (Sweden)
Echaust Krzysztof
2014-06-01
Full Text Available Most investors believe that left tails of the stock returns distribution are heavier than the right ones. It is a natural consequence of crashes perception as much more turbulent than the booms. Crashes develop in shorter time intervals than booms and changes of prices are significantly bigger. This paper focuses on the extreme behavior of stock market returns. The differences in the tails thickness of distribution are negligible. Its main result is that the differences between tails have been found in the clustering of extremes, especially during the crash of 2007-2009.
Bereaved Employee: Returning to Work
... Work Working Through Grief About Us The Bereaved Employee: Returning to Work By Helen Fitzgerald, CT After ... One employer called a grief therapist to help employees after a co-worker reported the death of ...
Total anomalous pulmonary venous return
... pulmonary venous return, x-ray References Fraser CD, Kane LC. Congenital heart disease. In: Townsend CM Jr, ... 62. Review Date 10/17/2017 Updated by: Michael A. Chen, MD, PhD, Associate Professor of Medicine, ...
Return Migration and Working Choices
TANI, Massimiliano; MAHUTEAU, Stéphane
2008-01-01
Collective Action to Support the Reintegration of Return Migrants in their Country of Origin (MIREM) This paper uses the recent survey carried out in the framework of the MIREM project on returnees to Algeria, Morocco and Tunisia and studies the duration of emigration and the labour force status upon returning. The results suggest that age and the year of emigration play a central role in the migration decision, but they do not support the hypothesis that the duration of migration is deter...
Capital Structure and Stock Returns
Ivo Welch
2002-01-01
U.S. corporations do not issue and repurchase debt and equity to counteract the mechanistic effects of stock returns on their debt-equity ratios. Thus over one- to five-year horizons, stock returns can explain about 40 percent of debt ratio dynamics. Although corporate net issuing activity is lively and although it can explain 60 percent of debt ratio dynamics (long-term debt issuing activity being most capital structurerelevant), corporate issuing motives remain largely a mystery. When stock...
[Organising a successful return home].
Mézière, Anthony
Discharge from hospital is a major component of the quality and efficiency of the healthcare system. The failures of the return home of elderly people testify to the difficulties of applying guidelines in the area of hospital discharge. The action plan decided in the hospital for a successful return home can be jeopardised for personal, relational, functional and structural reasons originating from the different players involved in the hospital discharge. Copyright © 2018 Elsevier Masson SAS. All rights reserved.
DOES ENERGY CONSUMPTION VOLATILITY AFFECT REAL GDP VOLATILITY? AN EMPIRICAL ANALYSIS FOR THE UK
Directory of Open Access Journals (Sweden)
Abdul Rashid
2013-10-01
Full Text Available This paper empirically examines the relation between energy consumption volatility and unpredictable variations in real gross domestic product (GDP in the UK. Estimating the Markov switching ARCH model we find a significant regime switching in the behavior of both energy consumption and GDP volatility. The results from the Markov regime-switching model show that the variability of energy consumption has a significant role to play in determining the behavior of GDP volatilities. Moreover, the results suggest that the impacts of unpredictable variations in energy consumption on GDP volatility are asymmetric, depending on the intensity of volatility. In particular, we find that while there is no significant contemporaneous relationship between energy consumption volatility and GDP volatility in the first (low-volatility regime, GDP volatility is significantly positively related to the volatility of energy utilization in the second (high-volatility regime.
Auditor Tenure and Stock Price Volatility: TheModerating Role of Auditor Industry Specialization
Directory of Open Access Journals (Sweden)
Mehran Jorjani
2018-04-01
Full Text Available Purpose The present study aims to investigate the relationship between auditor tenure and stock return volatility and to study the moderating effect of auditor’s industry specialization on this relationship in the firms listed on the Tehran Stock Exchange (TSE. Design/methodology/approach A sample of 95 companies listed on the Tehran Stock Exchange during the period 2011 to 2015 was selected and two hypotheses were formulated and analyzed using multivariate regression and econometric models. Findings The results of the study indicate that with the increase of auditor tenure, the volatility of stock returns is reduced. However, the results showed that the use of auditors specializing in the client's industry does not affect the relationship between the length of auditor tenure and the volatility of stock returns. Originality/value The findings of current study not only extend the extant theoretical literature concerning the stock price volatility in developing countries including emerging capital market of Iran, but also help investors, capital market and audit profession regulators to make informed decisions.
Generalized Confidence Intervals and Fiducial Intervals for Some Epidemiological Measures
Directory of Open Access Journals (Sweden)
Ionut Bebu
2016-06-01
Full Text Available For binary outcome data from epidemiological studies, this article investigates the interval estimation of several measures of interest in the absence or presence of categorical covariates. When covariates are present, the logistic regression model as well as the log-binomial model are investigated. The measures considered include the common odds ratio (OR from several studies, the number needed to treat (NNT, and the prevalence ratio. For each parameter, confidence intervals are constructed using the concepts of generalized pivotal quantities and fiducial quantities. Numerical results show that the confidence intervals so obtained exhibit satisfactory performance in terms of maintaining the coverage probabilities even when the sample sizes are not large. An appealing feature of the proposed solutions is that they are not based on maximization of the likelihood, and hence are free from convergence issues associated with the numerical calculation of the maximum likelihood estimators, especially in the context of the log-binomial model. The results are illustrated with a number of examples. The overall conclusion is that the proposed methodologies based on generalized pivotal quantities and fiducial quantities provide an accurate and unified approach for the interval estimation of the various epidemiological measures in the context of binary outcome data with or without covariates.
Stegmann, Petra
2008-01-01
Näitus "Fluxus East. Fluxuse võrgustikud Ida-Euroopas" Kumu Kunstimuuseumis, kuraator Petra Stegmann. Fluxuse liikumisest leedu kunstniku Yurgis George Maciunase eestvedamisel. Rühmituse ideoloogiast, liikmete tegevusest. Vilniuses asutatud Jonas Mekase Visuaalkunsti Keskuse poolt omandatud leedu kunstnike töödest, nende uurimisest
Fire Return Interval Within the Northern Boundary of the Larch Forest
Kharuk, V. I.; Dvinskaya, M. L.; Ranson, K. J.
2011-01-01
Larch (Larix spp.) dominant forests compose a large proportion of the forests of Russia (i.e., about 40% of forested areas). These forests range from the Yenisei ridge on the west to the Pacific Ocean on the east, and from Lake Baikal on the south to the 73rd parallel in the north. Larch stands comprise the world s northern most forest at Ary-Mas (72 deg 28' N, 102 deg 15' E). Larch dominated forests occupy about 70% of the permafrost areas in Siberia. Larch forms high closure stands as well as open forests, and is found mainly over permafrost, where other tree species barely survive. Wildfires are typical for this territory with the majority occurring as ground fires due to low crown closure. Due to the thin active layer in permafrost soils and a dense lichen-moss cover, ground fires may cause stand mortality. The vast areas of larch-dominant forests is generally considered as a "carbon sink"; however, positive long-term temperature trends at higher latitudes are expected to result in an increase of fire frequency, and thus may convert this area to a source for greenhouse gases. There are recent observations regarding the increase of fire frequency within non-protected territories. Surprisingly, there are few publications on fire chronoseqences for the huge forested territory between the Ural Mountains and the Pacific Ocean. Also there is a general understanding that bimodal (late spring -- early summer and late summer-beginning of fall) fire seasonal distribution in the south becomes uni-modal (late spring -- early summer) in the north. The purpose of this study is to investigate the wildfire history at the northern edge of the zone of larch dominance.
Predictors of return rate discrimination in slot machine play.
Coates, Ewan; Blaszczynski, Alex
2014-09-01
The purpose of this study was to investigate the extent to which accurate estimates of payback percentages and volatility combined with prior learning, enabled players to successfully discriminate between multi-line/multi-credit slot machines that provided differing rates of reinforcement. The aim was to determine if the capacity to discriminate structural characteristics of gaming machines influenced player choices in selecting 'favourite' slot machines. Slot machine gambling history, gambling beliefs and knowledge, impulsivity, illusions of control, and problem solving style were assessed in a sample of 48 first year undergraduate psychology students. Participants were subsequently exposed to a choice paradigm where they could freely select to play either of two concurrently presented PC-simulated slot machines programmed to randomly differ in expected player return rates (payback percentage) and win frequency (volatility). Results suggest that prior learning and cognitions (particularly gambler's fallacy) but not payback, were major contributors to the ability of a player to discriminate volatility between slot machines. Participants displayed a general tendency to discriminate payback, but counter-intuitively placed more bets on the slot machine with lower payback percentage rates.
Haemostatic reference intervals in pregnancy
DEFF Research Database (Denmark)
Szecsi, Pal Bela; Jørgensen, Maja; Klajnbard, Anna
2010-01-01
largely unchanged during pregnancy, delivery, and postpartum and were within non-pregnant reference intervals. However, levels of fibrinogen, D-dimer, and coagulation factors VII, VIII, and IX increased markedly. Protein S activity decreased substantially, while free protein S decreased slightly and total......Haemostatic reference intervals are generally based on samples from non-pregnant women. Thus, they may not be relevant to pregnant women, a problem that may hinder accurate diagnosis and treatment of haemostatic disorders during pregnancy. In this study, we establish gestational age......-20, 21-28, 29-34, 35-42, at active labor, and on postpartum days 1 and 2. Reference intervals for each gestational period using only the uncomplicated pregnancies were calculated in all 391 women for activated partial thromboplastin time (aPTT), fibrinogen, fibrin D-dimer, antithrombin, free protein S...
Directory of Open Access Journals (Sweden)
Jeong Wook Lee
2016-12-01
Full Text Available In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared. A key result from our analysis is that the long term effect of exchange rate movements on firm values is greater than the short term effect. And we find very similar results from using other exchange rate variables such as the U.S. dollar exchange rate, etc. Second, we add exchange rate volatility as a control variable and find that the extent of exposure is not much changed. Third, we examine the changes in exposure to exchange rate volatility with an increase in return horizon. Consequently the ratio of firms with significant exposures increases with the return horizons. Interestingly, the increase of exposure with the return horizons is faster for exposure to volatility than for exposure to exchange rate itself. Taken as a whole, our findings suggest that the so-called "exposure puzzle" may be a matter of the methodology used to measure exposure.
Volatile Transport in Pluto's Super Seasons
Earle, Alissa M.; Binzel, Richard; Young, Leslie; Stern, S. Alan; Olkin, Catherine B.; Ennico, Kimberly; Moore, Jeffrey M.; Weaver, Harold A.; NASA New Horizons Composition Team, The NASA New Horizons GGI Team
2016-10-01
The data returned from NASA's New Horizons' reconnaissance of the Pluto system shows striking albedo variations from polar to equatorial latitudes as well as sharp boundaries for longitudinal variations. Pluto has a high obliquity (currently around 119 degrees) which varies by more than 23 degrees (between roughly 103 and 127 degrees) over a period of less than 3 million years. These obliquity properties, combined with Pluto's orbital regression in longitude of perihelion (360 degrees over 3.7 million years), create epochs of "Super Seasons" on Pluto. A "Super Season" occurs, for example, when Pluto happens to be pole-on towards the Sun at the same time as perihelion. In such a case, one pole experiences a short, intense summer (relative to its long-term average) followed by a longer than average period of winter darkness. By complement, the other pole experiences a much longer, but less intense summer and short winter season. We explore the relationship between albedo variations and volatile transport for the current epoch as well as historical epochs during which Pluto experienced these "Super Seasons". Our investigation suggests Pluto's orbit creates the potential for runaway albedo variations, particularly in the equatorial region, which would create and support stark longitudinal contrasts like the ones we see between the informally named Tombaugh and Cthulhu Regios.This work was supported by the NASA New Horizons mission.
DEFF Research Database (Denmark)
Lunde, Asger; Olesen, Kasper Vinther
We explore intraday transaction records from NASDAQ OMX Commodities Europe from January 2006 to October 2013. We analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH framework for the joint modeling of returns and realized...... variances over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit can be obtained in-sample by utilizing high-frequency data compared to standard models that use only daily observations. Additionally, we show that the intraday sampling...
Immediate extinction promotes the return of fear.
Merz, Christian J; Hamacher-Dang, Tanja C; Wolf, Oliver T
2016-05-01
Accumulating evidence indicates that immediate extinction is less effective than delayed extinction in attenuating the return of fear. This line of fear conditioning research impacts the proposed onset of psychological interventions after threatening situations. In the present study, forty healthy men were investigated in a differential fear conditioning paradigm with fear acquisition in context A, extinction in context B, followed by retrieval testing in both contexts 24h later to test fear renewal. Differently coloured lights served as conditioned stimuli (CS): two CS (CS+) were paired with an electrical stimulation that served as unconditioned stimulus, the third CS was never paired (CS-). Extinction took place immediately after fear acquisition or 24h later. One CS+ was extinguished whereas the second CS+ remained unextinguished to control for different time intervals between fear acquisition and retrieval testing. Immediate extinction led to larger skin conductance responses during fear retrieval to both the extinguished and unextinguished CS relative to the CS-, indicating a stronger return of fear compared to delayed extinction. Taken together, immediate extinction is less potent than delayed extinction and is associated with a stronger renewal effect. Thus, the time-point of psychological interventions relative to the offset of threatening situations needs to be carefully considered to prevent relapses. Copyright © 2016 Elsevier Inc. All rights reserved.
Volatility Spillovers Across Petroleum Markets
Czech Academy of Sciences Publication Activity Database
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš
2015-01-01
Roč. 36, č. 3 (2015), s. 309-329 ISSN 0195-6574 R&D Projects: GA ČR GA14-24129S Keywords : Volatility spillovers * Asymmetry * Petroleum markets Subject RIV: AH - Economics Impact factor: 1.662, year: 2015 http://library.utia.cas.cz/separaty/2014/E/barunik-0438407.pdf
Stochastic Volatility and DSGE Models
DEFF Research Database (Denmark)
Andreasen, Martin Møller
This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may...
Inverse Interval Matrix: A Survey
Czech Academy of Sciences Publication Activity Database
Rohn, Jiří; Farhadsefat, R.
2011-01-01
Roč. 22, - (2011), s. 704-719 E-ISSN 1081-3810 R&D Projects: GA ČR GA201/09/1957; GA ČR GC201/08/J020 Institutional research plan: CEZ:AV0Z10300504 Keywords : interval matrix * inverse interval matrix * NP-hardness * enclosure * unit midpoint * inverse sign stability * nonnegative invertibility * absolute value equation * algorithm Subject RIV: BA - General Mathematics Impact factor: 0.808, year: 2010 http://www.math.technion.ac.il/iic/ ela / ela -articles/articles/vol22_pp704-719.pdf
Characterisation of selected volatile organic compounds in ...
African Journals Online (AJOL)
GCMS), was used to identify volatile compounds at three different temperatures. Fifty volatile compounds, inclusive of 14 acids, 14 alcohols, and 22 esters were identified and quantified in the two brands of indigenous banana beer samples. Only 12 ...
A Fractionally Integrated Wishart Stochastic Volatility Model
M. Asai (Manabu); M.J. McAleer (Michael)
2013-01-01
textabstractThere has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of
Cost Linkages Transmit Volatility Across Markets
DEFF Research Database (Denmark)
Nguyen, Daniel Xuyen; Schaur, Georg
We present and test a model relating a firm's idiosyncratic cost, its exporting status, and the volatilities of its domestic and export sales. In prior models of trade, supply costs for domestic and exports were linear and thus additively separable. We introduce a nonlinear cost function in order...... to link the domestic and export supply costs. This theoretical contribution has two new implications for the exporting firm. First, the demand volatility in the foreign market now directly affects the firm's domestic sales volatility. Second, firms hedge domestic demand volatility with exports. The model...... has several testable predictions. First, larger firms have lower total and domestic sales volatilities. Second, foreign market volatility increases domestic sales volatilities for exporters. Third, exporters allocate output across both markets in order to reduce total sales volatility. We find...
Release of volatile and semi-volatile toxicants during house fires.
Hewitt, Fiona; Christou, Antonis; Dickens, Kathryn; Walker, Richard; Stec, Anna A
2017-04-01
Qualitative results are presented from analysis of volatile and semi-volatile organic compounds (VOCs/SVOCs) obtained through sampling of gaseous effluent and condensed particulates during a series of experimental house fires conducted in a real house. Particular emphasis is given to the 16 polycyclic aromatic hydrocarbons (PAHs) listed by the Environmental Protection Agency due to their potentially carcinogenic effects. The initial fuel packages were either cooking oil or a single sofa; these were burned both alone, and in furnished surroundings. Experiments were performed at different ventilation conditions. Qualitative Gas Chromatography-Mass Spectrometry (GC-MS) analysis found VOC/SVOC releases in the developing stages of the fires, and benzo(a)pyrene - the most carcinogenic PAH - was found in at least one sampling interval in the majority of fires. A number of phosphorus fire retardants were detected, in both the gaseous effluent and particulates, from fires where the initial fuel source was a sofa. Their release during the fire is significant as they pose toxicological concerns separate from those presented by the PAHs. Copyright © 2016. Published by Elsevier Ltd.
Pyrolysis and volatilization of cocaine
International Nuclear Information System (INIS)
Martin, B.R.; Lue, L.P.; Boni, J.P.
1989-01-01
The increasing popularity of inhaling cocaine vapor prompted the present study, to determine cocaine's fate during this process. The free base of [3H]cocaine (1 microCi/50 mg) was added to a glass pipe, which was then heated in a furnace to simulate freebasing. Negative pressure was used to draw the vapor through a series of glass wool, ethanol, acidic, and basic traps. Air flow rate and temperature were found to have profound effects on the volatilization and pyrolysis of cocaine. At a temperature of 260 degrees C and a flow rate of 400 mL/min, 37% of the radioactivity remained in the pipe, 39% was found in the glass wool trap, and less than 1% in the remainder of the volatilization apparatus after a 10-min volatilization. Reducing the air flow rate to 100 mL/min reduced the amount of radioactivity collected in the glass wool trap to less than 10% of the starting material and increased the amount that remained in the pipe to 58%. GC/MS analysis of the contents of the glass wool trap after volatilization at 260 degrees C and a flow rate of 400 mL/min revealed that 60% of the cocaine remained intact, while approximately 6 and 2% of the starting material was recovered as benzoic acid and methylecgonidine, respectively. As the temperature was increased to 650 degrees C, benzoic acid and methylecgonidine accounted for 83 and 89% of the starting material, respectively, whereas only 2% of the cocaine remained intact. Quantitation of cocaine in the vapor during the course of volatilization revealed high concentrations during the first two min and low concentrations for the remaining time
Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming
Vercher, Enriqueta
2008-08-01
This paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.
Invariance in the recurrence of large returns and the validation of models of price dynamics
Chang, Lo-Bin; Geman, Stuart; Hsieh, Fushing; Hwang, Chii-Ruey
2013-08-01
Starting from a robust, nonparametric definition of large returns (“excursions”), we study the statistics of their occurrences, focusing on the recurrence process. The empirical waiting-time distribution between excursions is remarkably invariant to year, stock, and scale (return interval). This invariance is related to self-similarity of the marginal distributions of returns, but the excursion waiting-time distribution is a function of the entire return process and not just its univariate probabilities. Generalized autoregressive conditional heteroskedasticity (GARCH) models, market-time transformations based on volume or trades, and generalized (Lévy) random-walk models all fail to fit the statistical structure of excursions.
The contribution of forward masking to saccadic inhibition of return.
Souto, David; Born, Sabine; Kerzel, Dirk
2018-03-08
Inhibition of return is the name typically given to the prolonged latency of motor responses directed to a previously cued target location. There is intense debate about the origins of this effect and its function, but most take for granted (despite lack of evidence) that it depends little on forward masking. Therefore, we re-examined the role of forward masking in inhibition of return. Forward masking was indexed by slower saccadic reaction times (SRTs) when the target orientation repeated the cue orientation at the same location. We confirmed effects of orientation repetition in the absence of an attentional bias when cues were presented on both sides of fixation (bilateral presentation). The effect of orientation repetition was reduced with high target contrast, consistent with a low-level origin such as contrast gain control in early visual areas. When presenting cues on only one side of fixation (unilateral presentation), we obtained inhibition of return with longer cue-target intervals and facilitation with targets presented shortly after the cue. The effect of orientation repetition was reduced when facilitation was observed, but was as strong as with bilateral cues when inhibition of return was observed. Therefore, forward masking may contribute to the inhibition of return effect by delaying reaction times to repeated features at the same location, but is not a principal cause of inhibition of return; in agreement with previous views. The saccadic inhibition of return effect is a reaction-time cost when responding to a pre-cued location. Additional object updating costs are typically invoked to explain reaction-time costs observed when cue and target have the same shape. Yet, lower-level, forward masking of the target by the cue can not be ruled out. Importantly, we show an effect of orientation repetition that is consistent with low-level forward masking rather than object updating costs and that does not interact with inhibition of return.
Intensity of Price and Volatility Spillover Effects in Asia-Pacific Basin Equity Markets
Directory of Open Access Journals (Sweden)
Sazali Abidin
2014-12-01
Full Text Available This paper investigates the intensity of price and volatility spillover effects in five major stock markets within the Asia Pacific basin region with a particular emphasis in the spillover effects between Australia and China. VAR(5 model is used for measuring the return spillover while AR/VAR model with exogenous variables is employed for measuring the effects of same day returns on return spillover. .In modelling the volatility spillover, we employ AR/GARCH model which also incorporates the same day effects. Results of both return and volatility spillover provide evidence that there are significant spillover effects across different markets in the Asia-Pacific region and as well as between Australia and China. This study also provides support to the view that a market is most affected by other markets that opens/closes just before it. The main contribution of this paper is the confirmation of spillover effects between markets in the region, in particular, the interdependence between Australia and China which may have evolved only recently and thus have received relatively little research attention to date.
Testing for long memory in volatility in the Indian Forex market
Directory of Open Access Journals (Sweden)
Kumar Anoop S.
2014-01-01
Full Text Available This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013. In the first part of the analysis the presence of long-term dependence is confirmed in the return series as well as in two measures of unconditional volatility (absolute returns and squared returns by employing three measures of long memory. Next, the presence of long memory in conditional volatility is tested using ARMA-FIGARCH and ARMA-FIAPARCH models under various distributional assumptions. The results confirm the presence of long memory in conditional variance for two models. In the last part, the presence of long memory in conditional mean and conditional variance is verified using ARFIMA-FIGARCH and ARFIMA-FIAPARCH models. It is also found that long-memory models fare well compared to short-memory models in sample forecast performance.
Option Valuation with Long-run and Short-run Volatility Components
DEFF Research Database (Denmark)
Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat
This paper presents a new model for the valuation of European options, in which the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model can...... be viewed as an affine version of Engle and Lee (1999), allowing for easy valuation of European options. The model substantially outperforms a benchmark single-component volatility model that is well-established in the literature, and it fits options better than a model that combines conditional...... model long-maturity and short-maturity options....
The impact of exchange rate volatility on capital flows in BRICS economies
Bonga-Bonga, Lumengo; Gnagne, Pascal Xavier
2017-01-01
This study intends to analyse the impact of exchange rate risk on equity returns and bond yields as well as the volatility spillover between the foreign exchange, equity and bond markets in the BRICS economies. To reach this objective, a multivariate GARCH-M with BEKK specifications is applied on weekly data obtained from Thomson Reuters DataStream. The findings of the paper show that exchange rate volatility has a positive impact on ten-year bond yields in all BRICS countries except in South...
AN EXAMINATION OF THE LEVERAGE EFFECT IN THE ISE WITH STOCHASTIC VOLATILITY MODEL
Directory of Open Access Journals (Sweden)
YELİZ YALÇIN
2013-06-01
Full Text Available The purpose of this paper is the asses the leverage effect of the Istanbul Stock Exchange within the Stochastic Volatility framework in the period 01.01.1990 – 11.08.2006. The relationship between risk and return is a well established phenomenon in Financial Econometerics. Both positive and negative relationship has been reported in the empirical literature. That use the conditional variance the empirical evidence provided in this paper from the Stochastic Volatility is to be negative feed back effect and statistically insignificant leverage effect.
Dynamic Factor Models for the Volatility Surface
DEFF Research Database (Denmark)
van der Wel, Michel; Ozturk, Sait R.; Dijk, Dick van
The implied volatility surface is the collection of volatilities implied by option contracts for different strike prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility surface. Three model types are considered to examine desirable...
Dynamic Properties of QT Intervals
Czech Academy of Sciences Publication Activity Database
Halámek, Josef; Jurák, Pavel; Vondra, Vlastimil; Lipoldová, J.; Leinveber, Pavel; Plachý, M.; Fráňa, P.; Kára, T.
2009-01-01
Roč. 36, - (2009), s. 517-520 ISSN 0276-6574 R&D Projects: GA ČR GA102/08/1129; GA MŠk ME09050 Institutional research plan: CEZ:AV0Z20650511 Keywords : QT Intervals * arrhythmia diagnosis Subject RIV: JA - Electronics ; Optoelectronics, Electrical Engineering http://cinc.mit.edu/archives/2009/pdf/0517.pdf
Haemostatic reference intervals in pregnancy
DEFF Research Database (Denmark)
Szecsi, Pal Bela; Jørgensen, Maja; Klajnbard, Anna
2010-01-01
Haemostatic reference intervals are generally based on samples from non-pregnant women. Thus, they may not be relevant to pregnant women, a problem that may hinder accurate diagnosis and treatment of haemostatic disorders during pregnancy. In this study, we establish gestational age-specific refe......Haemostatic reference intervals are generally based on samples from non-pregnant women. Thus, they may not be relevant to pregnant women, a problem that may hinder accurate diagnosis and treatment of haemostatic disorders during pregnancy. In this study, we establish gestational age......-specific reference intervals for coagulation tests during normal pregnancy. Eight hundred one women with expected normal pregnancies were included in the study. Of these women, 391 had no complications during pregnancy, vaginal delivery, or postpartum period. Plasma samples were obtained at gestational weeks 13......-20, 21-28, 29-34, 35-42, at active labor, and on postpartum days 1 and 2. Reference intervals for each gestational period using only the uncomplicated pregnancies were calculated in all 391 women for activated partial thromboplastin time (aPTT), fibrinogen, fibrin D-dimer, antithrombin, free protein S...
Robust misinterpretation of confidence intervals
Hoekstra, Rink; Morey, Richard; Rouder, Jeffrey N.; Wagenmakers, Eric-Jan
2014-01-01
Null hypothesis significance testing (NHST) is undoubtedly the most common inferential technique used to justify claims in the social sciences. However, even staunch defenders of NHST agree that its outcomes are often misinterpreted. Confidence intervals (CIs) have frequently been proposed as a more
Interval matrices: Regularity generates singularity
Czech Academy of Sciences Publication Activity Database
Rohn, Jiří; Shary, S.P.
2018-01-01
Roč. 540, 1 March (2018), s. 149-159 ISSN 0024-3795 Institutional support: RVO:67985807 Keywords : interval matrix * regularity * singularity * P-matrix * absolute value equation * diagonally singilarizable matrix Subject RIV: BA - General Mathematics Impact factor: 0.973, year: 2016
Chaotic dynamics from interspike intervals
DEFF Research Database (Denmark)
Pavlov, A N; Sosnovtseva, Olga; Mosekilde, Erik
2001-01-01
Considering two different mathematical models describing chaotic spiking phenomena, namely, an integrate-and-fire and a threshold-crossing model, we discuss the problem of extracting dynamics from interspike intervals (ISIs) and show that the possibilities of computing the largest Lyapunov expone...
Sealed Planetary Return Canister (SPRC), Phase II
National Aeronautics and Space Administration — Sample return missions have primary importance in future planetary missions. A basic requirement is that samples be returned in pristine, uncontaminated condition,...
Frederickx, C; Dekeirsschieter, J; Brostaux, Y; Wathelet, J-P; Verheggen, F J; Haubruge, E
2012-06-10
To evaluate postmortem intervals (PMIs), one should take into account the determined age of necrophagous flies present on the cadaver. However, PMI determination needs further improvement, and rapid and accurate approaches have therefore to be developed. While previous studies have focussed on insect cuticular hydrocarbons, here we explore the volatile profile released by larvae and pupae of Calliphora vicina Robineau-Desvoidy (Diptera: Calliphoridae). We monitored changes in volatile compounds daily, by headspace solid-phase microextraction, followed by gas chromatography-mass spectrometry. Branched and unbranched hydrocarbons, alcohols, esters and acids were identified, and the volatile profile was shown to vary, in both composition and quantity, with the age of the larva/pupa under investigation. We concluded, based on the analysis of the released volatile organic compounds, that it is possible to increase the accuracy of the estimated PMI, through improved estimation of the age of blowflies present on the cadaver. Copyright © 2012 Elsevier Ireland Ltd. All rights reserved.
Abnormal Returns and Contrarian Strategies
Directory of Open Access Journals (Sweden)
Ivana Dall'Agnol
2003-12-01
Full Text Available We test the hypothesis that strategies which are long on portfolios of looser stocks and short on portfolios of winner stocks generate abnormal returns in Brazil. This type of evidence for the US stock market was interpreted by The Bondt and Thaler (1985 as reflecting systematic evaluation mistakes caused by investors overreaction to news related to the firm performance. We found evidence of contrarian strategies profitability for horizons from 3 months to 3 years in a sample of stock returns from BOVESPA and SOMA from 1986 to 2000. The strategies are more profitable for shorter horizons. Therefore, there was no trace of the momentum effect found by Jagadeesh and Titman (1993 for the same horizons with US data. There are remaing unexplained positive returns for contrarian strategies after accounting for risk, size, and liquidity. We also found that the strategy profitability is reduced after the Real Plan, which suggests that the Brazilian stock market became more efficient after inflation stabilization.
Brüggemann, Imke; Nautz, Dieter
1997-01-01
Recently, the Bundesbank claimed that monetary targeting has become considerably more diffcult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman's money growth volatility hypothesis. Granger-causality tests provide some evidence for a velocity-volatility linkage. However the estimation of volatility-augmented money demand functions reveals that - in contras...
Energy Technology Data Exchange (ETDEWEB)
Berk, Istemi [Koeln Univ. (Germany). Energiewirtschaftliches Inst.; Aydogan, Berna [Izmir Univ. of Economics (Turkey). Dept. of International Trade and Finance
2012-09-15
The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (V AR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE- 1 00) returns for the period between January 2, 1990 and November 1, 2011. We have also tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a liquidity proxy variable, Chicago Board of Exchange's (CBOE) S and P 500 market volatility index (VIX), into the model. Variance decomposition test results suggest little empirical evidence that crude oil price shocks have been rationally evaluated in the Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of variation in stock market returns.
Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns
Directory of Open Access Journals (Sweden)
Pradosh Simlai
2012-09-01
Full Text Available In this paper we provide a new type of risk characterization of the predictability of two widely known abnormal patterns in average stock returns: momentum and reversal. The purpose is to illustrate the relative importance of common risk factors and endogenous information. Our results demonstrates that in the presence of zero-investment factors, spreads in average momentum and reversal returns correspond to spreads in the slopes of the endogenous information. The empirical findings support the view that various classes of firms react differently to volatility risk, and endogenous information harbor important sources of potential risk loadings. Taken together, our results suggest that returns are influenced by random endogenous information flow, which is asymmetric in nature, and can be used as a performance attribution factor. If one fails to incorporate the existing asymmetric endogenous information hidden in the historical behavior, any attempt to explore average stock return predictability will be subject to an unquantified specification bias.
Impact of microorganism on polonium volatilization
International Nuclear Information System (INIS)
Momoshima, N.; Ishida, A.; Fukuda, A.; Yoshinaga, C.
2007-01-01
Volatilization of polonium by microorganisms, Chromobacterium violaceum, Escherichia coli and Bacillus subtilis was examined for pure cultures in LB medium at 30 deg C, showing relative Po emission intensity 100, 10 and 1, respectively. Chromobacterium violaceum pre-cultured in LB medium without Po and suspended in water with Po showed high Po volatilization in spite of poor nutriment condition. Antibiotics inhibit volatilization of Po and cultivation at low temperature greatly reduced volatilization. The results strongly support the biological effects on Po volatilization. (author)
A Markov switching model of the conditional volatility of crude oil futures prices
International Nuclear Information System (INIS)
Fong, Wai Mun; See, Kim Hock
2002-01-01
This paper examines the temporal behaviour of volatility of daily returns on crude oil futures using a generalised regime switching model that allows for abrupt changes in mean and variance, GARCH dynamics, basis-driven time-varying transition probabilities and conditional leptokurtosis. This flexible model enables us to capture many complex features of conditional volatility within a relatively parsimonious set-up. We show that regime shifts are clearly present in the data and dominate GARCH effects. Within the high volatility state, a negative basis is more likely to increase regime persistence than a positive basis, a finding which is consistent with previous empirical research on the theory of storage. The volatility regimes identified by our model correlate well with major events affecting supply and demand for oil. Out-of-sample tests indicate that the regime switching model performs noticeably better than non-switching models regardless of evaluation criteria. We conclude that regime switching models provide a useful framework for the financial historian interested in studying factors behind the evolution of volatility and to oil futures traders interested short-term volatility forecasts
Dynamic returns of beta arbitrage
Nascimento, Mafalda
2017-01-01
This thesis studies the patterns of the abnormal returns of the beta strategy. The topic can be helpful for professional investors, who intend to achieve a better performance in their portfolios. Following the methodology of Lou, Polk, & Huang (2016), the COBAR measure is computed in order to determine the levels of beta arbitrage in the market in each point in time. It is argued that beta arbitrage activity can have impact on the returns of the beta strategy. In fact, it is demonstrated that...
DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY
Directory of Open Access Journals (Sweden)
Radu Alina-Nicoleta
2009-05-01
Full Text Available In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility of
Volatile constituents of Trichothecium roseum.
Vanhaelen, M; Vanhaelen-Fastre, R; Geeraerts, J
1978-06-01
In the course of investigation of Trichothecium roseum (Fungi Imperfecti) for its attractancy against Tyrophagus putrescentiae (cheese mite), the twenty following volatile compounds produced at a very low concentration by the microfungus were identified by gc, gc/ms, gc/c.i.ms and tlc: 3-methyl-1-butanol, 3-octanone, 1-octen-3-one, 3-octanol, octa-1,5-dien-3 one, 1-octen-3-ol, 6-methyl-5-hepten-2-ol, octa-1,5-dien-3 ol, furfural, linalool, linalyl acetate, terpineol (alpha and beta) citronellyl acetate, nerol, citronellol, phenylacetaldehyde, benzyl alcohol geranyl acetate, 1-phenyl ethanol and nerolidol. Octa-1,5-dien-3-ol and octa-1,5-dien-3-one have not been previously isolated from fungi; octa-1,5-dien-3-ol is the most potent attractant amount the volatile compounds detected by gc.
Chirospecific analysis of plant volatiles
International Nuclear Information System (INIS)
Tkachev, A V
2007-01-01
Characteristic features of the analysis of plant volatiles by enantioselective gas (gas-liquid) chromatography and gas chromatography/mass spectrometry are discussed. The most recent advances in the design of enantioselective stationary phases are surveyed. Examples of the preparation of the most efficient phases based on modified cyclodextrins are given. Current knowledge on the successful analytical resolution of different types of plant volatiles (aliphatic and aromatic compounds and mono-, sesqui- and diterpene derivatives) into optical antipodes is systematically described. Chiral stationary phases used for these purposes, temperature conditions and enantiomer separation factors are summarised. Examples of the enantiomeric resolution of fragrance compounds and components of plant extracts, wines and essential oils are given.
Chirospecific analysis of plant volatiles
Energy Technology Data Exchange (ETDEWEB)
Tkachev, A V [N.N. Vorozhtsov Novosibirsk Institute of Organic Chemistry, Siberian Branch of the Russian Academy of Sciences, Novosibirsk (Russian Federation)
2007-10-31
Characteristic features of the analysis of plant volatiles by enantioselective gas (gas-liquid) chromatography and gas chromatography/mass spectrometry are discussed. The most recent advances in the design of enantioselective stationary phases are surveyed. Examples of the preparation of the most efficient phases based on modified cyclodextrins are given. Current knowledge on the successful analytical resolution of different types of plant volatiles (aliphatic and aromatic compounds and mono-, sesqui- and diterpene derivatives) into optical antipodes is systematically described. Chiral stationary phases used for these purposes, temperature conditions and enantiomer separation factors are summarised. Examples of the enantiomeric resolution of fragrance compounds and components of plant extracts, wines and essential oils are given.
Return-to-work coordination programmes for improving return to work in workers on sick leave.
Vogel, Nicole; Schandelmaier, Stefan; Zumbrunn, Thomas; Ebrahim, Shanil; de Boer, Wout El; Busse, Jason W; Kunz, Regina
2017-03-30
To limit long-term sick leave and associated consequences, insurers, healthcare providers and employers provide programmes to facilitate disabled people's return to work. These programmes include a variety of coordinated and individualised interventions. Despite the increasing popularity of such programmes, their benefits remain uncertain. We conducted a systematic review to determine the long-term effectiveness of return-to-work coordination programmes compared to usual practice in workers at risk for long-term disability. To assess the effects of return-to-work coordination programmes versus usual practice for workers on sick leave or disability. We searched the Cochrane Central Register of Controlled Trials (CENTRAL; 2016, Issue 11), MEDLINE, Embase, CINAHL and PsycINFO up to 1 November 2016. We included randomised controlled trials (RCTs) that enrolled workers absent from work for at least four weeks and randomly assigned them to return-to-work coordination programmes or usual practice. Two review authors independently screened titles, abstracts and full-text articles for study eligibility; extracted data; and assessed risk of bias from eligible trials. We contacted authors for additional data where required. We conducted random-effects meta-analyses and used the GRADE approach to rate the quality of the evidence. We identified 14 studies from nine countries that enrolled 12,568 workers. Eleven studies focused on musculoskeletal problems, two on mental health and one on both. Most studies (11 of 14) followed workers 12 months or longer. Risk of bias was low in 10 and high in 4 studies, but findings were not sensitive to their exclusion.We found no benefits for return-to-work coordination programmes on return-to-work outcomes.For short-term follow-up of six months, we found no effect on time to return to work (hazard ratio (HR) 1.32, 95% confidence interval (CI) 0.93 to 1.88, low-quality evidence), cumulative sickness absence (mean difference (MD) -16.18 work
Forecasting volatility of crude oil markets
International Nuclear Information System (INIS)
Kang, Sang Hoon; Kang, Sang-Mok; Yoon, Seong-Min
2009-01-01
This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)
Forecasting volatility of crude oil markets
Energy Technology Data Exchange (ETDEWEB)
Kang, Sang Hoon [Department of Business Administration, Gyeongsang National University, Jinju, 660-701 (Korea); Kang, Sang-Mok; Yoon, Seong-Min [Department of Economics, Pusan National University, Busan, 609-735 (Korea)
2009-01-15
This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)
Directory of Open Access Journals (Sweden)
Chia-Lin Chang
2018-06-01
Full Text Available Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset, among alternative energy commodities, such as oil, gasoline and ethanol across different markets, have been analysed using a variety of univariate and multivariate models, estimation techniques, data sets, and time frequencies. A similar comment applies to the separate theoretical and empirical analysis of a wide range of agricultural commodities and markets. Given the recent interest and emphasis in bio-fuels and green energy, especially bio-ethanol, which is derived from a range of agricultural products, it is not surprising that there is a topical and developing literature on the spillovers between energy and agricultural markets. Modelling and testing spillovers between the energy and agricultural markets has typically been based on estimating multivariate conditional volatility models, specifically the Baba, Engle, Kraft, and Kroner (BEKK and dynamic conditional correlation (DCC models. A serious technical deficiency is that the Quasi-Maximum Likelihood Estimates (QMLE of a Full BEKK matrix, which is typically estimated in examining volatility spillover effects, has no asymptotic properties, except by assumption, so that no valid statistical test of volatility spillovers is possible. Some papers in the literature have used the DCC model to test for volatility spillovers. However, it is well known in the financial econometrics literature that the DCC model has no regularity conditions, and that the QMLE of the parameters of DCC has no asymptotic properties, so that there is no valid statistical testing of volatility spillovers. The purpose of the paper is to evaluate the theory and practice in testing for volatility spillovers
Market Returns and Weak-Form Efficiency: the case of the Ghana Stock Exchange
Frimpong, Joseph Magnus; Oteng-Abayie, Eric Fosu
2007-01-01
This paper examines the weak-form efficient market hypothesis (EMH) in the case of the Ghana Stock Exchange (GSE) an emerging market. Daily returns from the Databank Stock Index (DSI) over a 5-year period 1999-2004 were used for the exercise. Random walk (RW) and GARCH(1,1) models are used as the basis for our analysis. The GSE DSI returns series exhibit volatility clustering, an indication of inefficiency on the GSE. The weak-form efficient market (random walk) hypothesis was rejected for t...
Forecasting volatility for options valuation
International Nuclear Information System (INIS)
Belaifa, M.; Morimune, K.
2006-01-01
The petroleum sector plays a neuralgic role in the basement of world economies, and market actors (producers, intermediates, as well as consumers) are continuously subjected to the dynamics of unstable oil market. Huge amounts are being invested along the production chain to make one barrel of crude oil available to the end user. Adding to that are the effect of geopolitical dynamics as well as geological risks as expressed in terms of low chances of successful discoveries. In addition, fiscal regimes and regulations, technology and environmental concerns are also among some of the major factors that contribute to the substantial risk in the oil industry and render the market structure vulnerable to crises. The management of these vulnerabilities require modern tools to reduce risk to a certain level, which unfortunately is a non-zero value. The aim of this paper is, therefore, to provide a modern technique to capture the oil price stochastic volatility that can be implemented to value the exposure of an investor, a company, a corporate or a Government. The paper first analyses the regional dependence on oil prices, through a historical perspective and then looks at the evolution of pricing environment since the large price jumps of the 1970s. The main causes of oil prices volatility are treated in the third part of the paper. The rest of the article deals with volatility models and forecasts used in risk management, with an implication for pricing derivatives. (author)
Human skin volatiles: a review.
Dormont, Laurent; Bessière, Jean-Marie; Cohuet, Anna
2013-05-01
Odors emitted by human skin are of great interest to biologists in many fields; applications range from forensic studies to diagnostic tools, the design of perfumes and deodorants, and the ecology of blood-sucking insect vectors of human disease. Numerous studies have investigated the chemical composition of skin odors, and various sampling methods have been used for this purpose. The literature shows that the chemical profile of skin volatiles varies greatly among studies, and the use of different sampling procedures is probably responsible for some of these variations. To our knowledge, this is the first review focused on human skin volatile compounds. We detail the different sampling techniques, each with its own set of advantages and disadvantages, which have been used for the collection of skin odors from different parts of the human body. We present the main skin volatile compounds found in these studies, with particular emphasis on the most frequently studied body regions, axillae, hands, and feet. We propose future directions for promising experimental studies on odors from human skin, particularly in relation to the chemical ecology of blood-sucking insects.
Volatilization of gasoline from soil
International Nuclear Information System (INIS)
Arthus, P.
1993-05-01
Gasoline contaminated soil threatens water resources and air quality. The extent of the threat depends on gasoline behavior in soil, which is affected by various mechanisms such as volatilization. To quantify volatilization, gasoline spills were simulated in the laboratory using a synthetic gasoline and three dry soils. Total gasoline and individual gasoline compound concentrations in soil were monitored as a function of depth and time. The time to reduce overall gasoline concentration in coarse sand, sandy loam, and silt loam to 40% of initial concentration, averaged between surface and a 200-mm depth, ranged from 0.25 d to 10 d. A wicking phenomenon which contributed to gasoline flux toward the atmosphere was indicated by behavior of a low-volatility gasoline compound. Based on separate wicking experiments, this bulk immiscible movement was estimated at an upward velocity of 0.09 m/d for Delhi sandy loam and 0.05 m/d for Elora silt loam. 70 refs., 24 figs., 34 tabs
Acevedo, Francisca; Torres, Paulina; Oomah, B Dave; de Alencar, Severino Matias; Massarioli, Adna Prado; Martín-Venegas, Raquel; Albarral-Ávila, Vicenta; Burgos-Díaz, César; Ferrer, Ruth; Rubilar, Mónica
2017-04-01
Ulmo honey originating from Eucryphia cordifolia tree, known locally in the Araucania region as the Ulmo tree is a natural product with valuable nutritional and medicinal qualities. It has been used in the Mapuche culture to treat infections. This study aimed to identify the volatile and non-volatile/semi-volatile compounds of Ulmo honey and elucidate its in vitro biological properties by evaluating its antioxidant, antibacterial, antiproliferative and hemolytic properties and cytotoxicity in Caco-2 cells. Headspace volatiles of Ulmo honey were isolated by solid-phase microextraction (SPME); non-volatiles/semi-volatiles were obtained by removing all saccharides with acidified water and the compounds were identified by GC/MS analysis. Ulmo honey volatiles consisted of 50 compounds predominated by 20 flavor components. Two of the volatile compounds, lyrame and anethol have never been reported before as honey compounds. The non-volatile/semi-volatile components of Ulmo honey comprised 27 compounds including 13 benzene derivatives accounting 75% of the total peak area. Ulmo honey exhibited weak antioxidant activity but strong antibacterial activity particularly against gram-negative bacteria and methicillin-resistant Staphylococcus aureus (MRSA), the main strain involved in wounds and skin infections. At concentrations >0.5%, Ulmo honey reduced Caco-2 cell viability, released lactate dehydrogenase (LDH) and increased reactive oxygen species (ROS) production in a dose dependent manner in the presence of foetal bovine serum (FBS). The wide array of volatile and non-volatile/semi-volatile constituents of Ulmo honey rich in benzene derivatives may partly account for its strong antibacterial and antiproliferative properties important for its therapeutic use. Our results indicate that Ulmo honey can potentially inhibit cancer growth at least partly by modulating oxidative stress. Copyright © 2017 Elsevier Ltd. All rights reserved.
Phobos Sample Return: Next Approach
Zelenyi, Lev; Martynov, Maxim; Zakharov, Alexander; Korablev, Oleg; Ivanov, Alexey; Karabadzak, George
The Martian moons still remain a mystery after numerous studies by Mars orbiting spacecraft. Their study cover three major topics related to (1) Solar system in general (formation and evolution, origin of planetary satellites, origin and evolution of life); (2) small bodies (captured asteroid, or remnants of Mars formation, or reaccreted Mars ejecta); (3) Mars (formation and evolution of Mars; Mars ejecta at the satellites). As reviewed by Galimov [2010] most of the above questions require the sample return from the Martian moon, while some (e.g. the characterization of the organic matter) could be also answered by in situ experiments. There is the possibility to obtain the sample of Mars material by sampling Phobos: following to Chappaz et al. [2012] a 200-g sample could contain 10-7 g of Mars surface material launched during the past 1 mln years, or 5*10-5 g of Mars material launched during the past 10 mln years, or 5*1010 individual particles from Mars, quantities suitable for accurate laboratory analyses. The studies of Phobos have been of high priority in the Russian program on planetary research for many years. Phobos-88 mission consisted of two spacecraft (Phobos-1, Phobos-2) and aimed the approach to Phobos at 50 m and remote studies, and also the release of small landers (long-living stations DAS). This mission implemented the program incompletely. It was returned information about the Martian environment and atmosphere. The next profect Phobos Sample Return (Phobos-Grunt) initially planned in early 2000 has been delayed several times owing to budget difficulties; the spacecraft failed to leave NEO in 2011. The recovery of the science goals of this mission and the delivery of the samples of Phobos to Earth remain of highest priority for Russian scientific community. The next Phobos SR mission named Boomerang was postponed following the ExoMars cooperation, but is considered the next in the line of planetary exploration, suitable for launch around 2022. A
Directory of Open Access Journals (Sweden)
Dahiru A. Bala
2017-03-01
Full Text Available This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs using multivariate-GARCH (MGARCH models and their variants. In addition, we analyse the impacts of global financial crisis (2007–2009 on stock market volatility interactions and modify the BEKK-MGARCH-type models by including financial crisis dummies to assess their impact on volatilities and spillovers. Major findings reveal that correlations among emerging markets (EMs are lower compared with correlations among DMs and increase during financial crises. Furthermore, we detect evidence of volatility spillovers and observe that own-volatility spillovers are higher than cross-volatility spillovers for EMs suggesting that shocks have not been substantially transmitted among EMs compared to DMs. We also find significant asymmetric behaviour in DMs while weak evidence is detected for EMs. Finally, the DCC-with-skewed-t density model provided improved diagnostics compared to other models partly due to its taking into account fat tails and skewed features often present in financial returns.
Statistical intervals a guide for practitioners
Hahn, Gerald J
2011-01-01
Presents a detailed exposition of statistical intervals and emphasizes applications in industry. The discussion differentiates at an elementary level among different kinds of statistical intervals and gives instruction with numerous examples and simple math on how to construct such intervals from sample data. This includes confidence intervals to contain a population percentile, confidence intervals on probability of meeting specified threshold value, and prediction intervals to include observation in a future sample. Also has an appendix containing computer subroutines for nonparametric stati
Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility
Directory of Open Access Journals (Sweden)
Irshad Hira
2017-08-01
Full Text Available This study investigated the relationship of political instability with the stock prices. Results of the study indicated the negative relationship of stock prices with political instability. Moreover, results of suggested that instable political system ultimately leads decline in stock prices. Inflation has shown negative relationship with stock prices whereas, industrial production and Exports have positive relationship with stock prices.
Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility
Irshad Hira
2017-01-01
This study investigated the relationship of political instability with the stock prices. Results of the study indicated the negative relationship of stock prices with political instability. Moreover, results of suggested that instable political system ultimately leads decline in stock prices. Inflation has shown negative relationship with stock prices whereas, industrial production and Exports have positive relationship with stock prices.
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
Czech Academy of Sciences Publication Activity Database
Žikeš, F.; Baruník, Jozef
2016-01-01
Roč. 14, č. 1 (2016), s. 185-226 ISSN 1479-8409 R&D Projects: GA ČR GA13-32263S EU Projects: European Commission 612955 - FINMAP Institutional support: RVO:67985556 Keywords : conditional quantiles * quantile regression * realized measures * value-at-risk Subject RIV: AH - Economics Impact factor: 1.800, year: 2016 http://library.utia.cas.cz/separaty/2014/E/barunik-0434200.pdf
EFFECT OF GOLD PRICE VOLATILITY ON STOCK RETURNS:EXAMPLE OF TURKEY
Directory of Open Access Journals (Sweden)
Filiz YILDIZ CONTUK
2013-01-01
Full Text Available This study analyzes the effect of fluctuations in gold prices on ISE 100 indexusing daily prices and the index data from 01.01.2009 to 31.12.2012. The rawdata has been converted into earningsyields and analyzed. The study firstdetermines whether or not the use of aGARCH model would beappropriate usinga heteroskedasticity test. The test resultsshow that there was an ARCH effect inboth variables, and that GARCH modeling could be used. The results obtainedfrom MGARCH modeling show that gold and stock exchange yields have beenaffected both by their own shocks and by shocks of each other
Brounen, Dirk; Kok, N.; Ling, D.C.
2012-01-01
The shareholder composition of listed property companies has changed from the fragmented, retail ownership, to more concentrated, institutional ownership over the past decade. In this paper, we first document significant variation in the composition of the shareholder base across the world's five
Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH
Directory of Open Access Journals (Sweden)
Paul Bui Quang
2018-04-01
Full Text Available This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across markets. This indicates that, despite a regional proximity and homogeneity of the markets, index volatilities are driven by different factors.
Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models
DEFF Research Database (Denmark)
Kokholm, Thomas; Stisen, Martin
2015-01-01
to existing literature, we derive numerically simpler VIX option and futures pricing formulas in the case of the SVJ model. Moreover, the paper is the first to study the pricing performance of three widely used models to SPX options and VIX derivatives.......With the existence of active markets for volatility derivatives and options on the underlying instrument, the need for models that are able to price these markets consistently has increased. Although pricing formulas for VIX and vanilla options are now available for commonly employed models...... and variance (SVJJ) are jointly calibrated to market quotes on SPX and VIX options together with VIX futures. The full flexibility of having jumps in both returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the Feller condition imposed...
Stochastic volatility models and Kelvin waves
Energy Technology Data Exchange (ETDEWEB)
Lipton, Alex [Merrill Lynch, Mlfc Main, 2 King Edward Street, London EC1A 1HQ (United Kingdom); Sepp, Artur [Merrill Lynch, 4 World Financial Center, New York, NY 10080 (United States)], E-mail: Alex_Lipton@ml.com, E-mail: Artur_Sepp@ml.com
2008-08-29
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.
Stochastic volatility models and Kelvin waves
Lipton, Alex; Sepp, Artur
2008-08-01
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.
Stochastic volatility models and Kelvin waves
International Nuclear Information System (INIS)
Lipton, Alex; Sepp, Artur
2008-01-01
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics
Uncertainty of Volatility Estimates from Heston Greeks
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Oliver Pfante
2018-01-01
Full Text Available Volatility is a widely recognized measure of market risk. As volatility is not observed it has to be estimated from market prices, i.e., as the implied volatility from option prices. The volatility index VIX making volatility a tradeable asset in its own right is computed from near- and next-term put and call options on the S&P 500 with more than 23 days and less than 37 days to expiration and non-vanishing bid. In the present paper we quantify the information content of the constituents of the VIX about the volatility of the S&P 500 in terms of the Fisher information matrix. Assuming that observed option prices are centered on the theoretical price provided by Heston's model perturbed by additive Gaussian noise we relate their Fisher information matrix to the Greeks in the Heston model. We find that the prices of options contained in the VIX basket allow for reliable estimates of the volatility of the S&P 500 with negligible uncertainty as long as volatility is large enough. Interestingly, if volatility drops below a critical value of roughly 3%, inferences from option prices become imprecise because Vega, the derivative of a European option w.r.t. volatility, and thereby the Fisher information nearly vanishes.
Dijets at large rapidity intervals
Pope, B G
2001-01-01
Inclusive diet production at large pseudorapidity intervals ( Delta eta ) between the two jets has been suggested as a regime for observing BFKL dynamics. We have measured the dijet cross section for large Delta eta in pp collisions at square root s = 1800 and 630 GeV using the DOE detector. The partonic cross section increases strongly with the size of Delta eta . The observed growth is even stronger than expected on the basis of BFKL resummation in the leading logarithmic approximation. The growth of the partonic cross section can be accommodated with an effective BFKL intercept of alpha /sub BFKL/(20 GeV) = 1.65 +or- 0.07.
Variational collocation on finite intervals
International Nuclear Information System (INIS)
Amore, Paolo; Cervantes, Mayra; Fernandez, Francisco M
2007-01-01
In this paper, we study a set of functions, defined on an interval of finite width, which are orthogonal and which reduce to the sinc functions when the appropriate limit is taken. We show that these functions can be used within a variational approach to obtain accurate results for a variety of problems. We have applied them to the interpolation of functions on finite domains and to the solution of the Schroedinger equation, and we have compared the performance of the present approach with others
Directory of Open Access Journals (Sweden)
Mathius Tandiontong
2017-03-01
Full Text Available Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterminvestments to be able to provide added value and the risk for fixed income. This study focused on thedifference of APTM versus CAPM, and it also focused on the sensitivity of the APTM on the stock returns. Thisstudy was based on the assumption that: there were differences in sectoral stock return volatility, volatility ofmarket risk factors, and macroeconomic risks affecting sectoral differences in the sensitivity of stock returns;there were differences in the results of testing the validity, robustness unconditional CAPM and APTMmultifactorial; and time-varying volatility referring to the phenomena of structural breaks and asymmetriceffect. The method of analysis used nested models with panel data. Data were analyzed by using secondary datafrom 2005-2012. The results of this study concluded that: there was no different sensitivity of stock returnsacross sectors, but there was different insensitivity between systematic risk factors, CAPM and APTM multifactorthat showed the inconsistency of the sectoral shares, but the proven model of unconditional CAPM wasvalid; the difference of factor risk premiums was as a result of the structural break, the financial crisis period of2008 within the period 2005-2012.
Righter, K.; Danielson, L.; Pando, K. M.; Marin, N.; Nickodem, K.
2015-01-01
Origin of Earth's volatiles has traditionally been ascribed to late accretion of material after major differentiation events - chondrites, comets, ice or other exogenous sources. A competing theory is that the Earth accreted its volatiles as it was built, thus water and other building blocks were present early and during differentiation and core formation (indigenous). Here we discuss geochemical evidence from three groups of elements that suggests Earth's volatiles were acquired during accretion and did not require additional sources after differentiation.
Nolte, Ingmar; Voev, Valeri
2009-01-01
The expected value of sums of squared intraday returns (realized variance)gives rise to a least squares regression which adapts itself to the assumptions ofthe noise process and allows for a joint inference on integrated volatility (IV),noise moments and price-noise relations. In the iid noise case we derive theasymptotic variance of the regression parameter estimating the IV, show thatit is consistent and compare its asymptotic efficiency against alternative consistentIV measures. In case of...
Flint, Emlyn; Maré, Eben
2017-01-01
Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed. However, many researchers have shown that this assumption is violated in practice. Such violations include the statistical properties of heavy tails, volatility clustering, leptokurtosis and long memory. This paper considers the pricing of contingent claims when the underlying is assumed to display long memor...
A Comparison of forecasting Volatility startegies into ARCH Class throughPricing
Marzia Freo
2003-01-01
Daily data on the German market index return are used to consider multiple issues in a forecasting comparison of ARCH-type specifications. first, attention is paid to the impact of different sample sizez, different horizons and fitting of historical versus implied data. Secondly, the issue of volatility transmission is addressed by modelling French and Germany market indexes into simultaneous conditionally heteroskedasticity framework. Errors obtained by updating the Black and Scholes formula...
Multiresolution approximation for volatility processes
E. Capobianco (Enrico)
2002-01-01
textabstractWe present an application of wavelet techniques to non-stationary time series with the aim of detecting the dependence structure which is typically found to characterize intraday stock index financial returns. It is particularly important to identify what components truly belong to the
Economic crisis and women's labor force return after childbirth: Evidence from South Korea
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Li Ma
2014-08-01
Full Text Available Background: Most research on women's labor force return after childbirth concentrates on industrialized countries in the West; the link between economic swings and mothers' work-return behavior is rarely addressed. This study closes these gaps by focusing on South Korea, a developed society in East Asia that has in recent decades witnessed increases in female labor force participation and dramatic economic ups and downs. This is the first relevant study on South Korea. Objective: This study examines how women's labor force return after childbirth (with and without career interruption and their career prospects upon work return varied before, during, and after the Asian financial crisis in South Korea. Methods: Logistic and hazard regression models were applied to the Korea Labor and Income Panel Study (KLIPS waves 1-10. Results: The study reveals an increase in women's immediate work return after childbirth without career interruption since the 1980s. The Asian financial crisis boosted this immediate return pattern. The implementation of job-protected maternity leave further contributed to this pattern. Women who underwent career interruption at first birth were also more likely to re-enter the labor market during and after the crisis than before. Downward occupational moves were especially common during the period of financial crisis. Conclusions: The results suggest that the Asian financial crisis triggered a noticeable change in women's post-birth work-return behavior. The economic volatility pushed mothers to hold onto their role in the labor force more strongly than before.
Remanufacturing lot-sizing under alternative perceptions of returned units' quality
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Zikopoulos, C.
2012-01-01
Full Text Available One of the critical parameters in reverse supply chain management is the increased variability of the quality condition of used, returned products. The volatile nature of returns' quality often dictates the establishment of quality assessment procedures and the development of technologies that facilitate the fast, accurate and inexpensive classification of returns. The appropriate degree in which a firm has to allocate resources for acquiring information on the quality of returned units, naturally, depends on the anticipated improvement of recovery activities' profitability. Therefore, the quantification of the savings associated with confronting or resolving quality uncertainty is a necessary input during the determination of the proper recovery procedures' configuration. In the current paper, we study a remanufacturing system in a multi-period setting in which returns' quality information is exploited during remanufacturing planning. However, in the decision-making process, certain aspects of the problem examined, such as the quantification of shortage cost, are overlooked or simplified. The objective is to examine the advisability of acquiring advanced quality information in order to be used during sub-optimal decision-making processes, in comparison with alternative policies which do not take explicitly into account returns' quality information. Moreover, through an extensive numerical analysis we examine the implications of alternative considerations regarding returned units' quality on remanufacturing planning, lead-time and service-levels and evaluate their impact on the overall system operational cost.
Implied adjusted volatility functions: Empirical evidence from Australian index option market
Harun, Hanani Farhah; Hafizah, Mimi
2015-02-01
This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is investigated in the context of Standard and Poor/Australian Stock Exchange (S&P/ASX) 200 index options over the course of 2001-2010, which covers the global financial crisis in the mid-2007 until the end of 2008. Both in- and out-of-sample resulted in approximately similar pricing error along the different Leland models. Results indicate that symmetric and asymmetric models of both moneyness ratio and logarithmic transformation of moneyness provide the overall best result in both during and post-crisis periods. We find that in the different period of interval (pre-, during and post-crisis) is subject to a different implied adjusted volatility function which best explains the index options. Hence, it is tremendously important to identify the intervals beforehand in investigating the implied adjusted volatility function.
Inflation Volatility and the Inflation-Growth Tradeoff in India
Raghbendra Jha; Varsha S. Kulkarni
2012-01-01
This paper amends the New Keynesian Phillips curve model to include inflation volatility and tests the determinants of such volatility for India. It provides results on the determinants of inflation volatility and expected inflation volatility for OLS and ARDL (1,1) models and for change in inflation volatility and change in expected inflation volatility using ECM models. Output gap affects change in expected inflation volatility along (in the ECM model) and not in the other models. Major det...
Volatile accretion history of the Earth.
Wood, B J; Halliday, A N; Rehkämper, M
2010-10-28
It has long been thought that the Earth had a protracted and complex history of volatile accretion and loss. Albarède paints a different picture, proposing that the Earth first formed as a dry planet which, like the Moon, was devoid of volatile constituents. He suggests that the Earth's complement of volatile elements was only established later, by the addition of a small veneer of volatile-rich material at ∼100 Myr (here and elsewhere, ages are relative to the origin of the Solar System). Here we argue that the Earth's mass balance of moderately volatile elements is inconsistent with Albarède's hypothesis but is well explained by the standard model of accretion from partially volatile-depleted material, accompanied by core formation.
Volatile communication in plant-aphid interactions.
de Vos, Martin; Jander, Georg
2010-08-01
Volatile communication plays an important role in mediating the interactions between plants, aphids, and other organisms in the environment. In response to aphid infestation, many plants initiate indirect defenses through the release of volatiles that attract ladybugs, parasitoid wasps, and other aphid-consuming predators. Aphid-induced volatile release in the model plant Arabidopsis thaliana requires the jasmonate signaling pathway. Volatile release is also induced by infection with aphid-transmitted viruses. Consistent with mathematical models of optimal transmission, viruses that are acquired rapidly by aphids induce volatile release to attract migratory aphids, but discourage long-term aphid feeding. Although the ecology of these interactions is well-studied, further research is needed to identify the molecular basis of aphid-induced and virus-induced changes in plant volatile release. Copyright 2010 Elsevier Ltd. All rights reserved.
Financial Integration and Asset Returns
P Martin; H Rey
2000-01-01
The paper investigates the impact of financial integration on asset return, risk diversification and breadth of financial markets. We analyse a three-country macroeconomic model in which (i) the number of financial assets is endogenous; (ii) assets are imperfect substitutes; (iii) cross-border asset trade entails some transaction costs; (iv) the investment technology is indivisible. In such an environment, lower transaction costs between two financial markets translate to higher demand for as...
Returning to work after disability.
Quinn, P Roger
2002-06-01
After a workplace injury or disability, there is a period of hardship and adjustment for the injured party as well as all stakeholders in the workers' compensation process. Ultimately, however, return to work is considered. The author reviews this often challenging exercise from the Canadian perspective and stresses the need for timely intervention, honest communication, the coordination of information and resources--and the need for flexibility. A case study on low back pain is included.
Portfolio management under sudden changes in volatility and heterogeneous investment horizons
Fernandez, Viviana; Lucey, Brian M.
2007-03-01
We analyze the implications for portfolio management of accounting for conditional heteroskedasticity and sudden changes in volatility, based on a sample of weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992-2005. To that end, we first proceed to utilize the ICSS algorithm to detect long-term volatility shifts, and incorporate that information into PGARCH models fitted to the returns series. At the next stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor's time horizon. We repeat the same procedure for artificial data generated from semi-parametric estimates of the distribution functions of returns, which account for fat tails. Our estimation results show that neglecting GARCH effects and volatility shifts may lead to an overestimation of financial risk at different time horizons. In addition, we conclude that investors benefit from holding commodities as their low or even negative correlation with stock and bond indices contribute to portfolio diversification.
Some Characterizations of Convex Interval Games
Brânzei, R.; Tijs, S.H.; Alparslan-Gok, S.Z.
2008-01-01
This paper focuses on new characterizations of convex interval games using the notions of exactness and superadditivity. We also relate big boss interval games with concave interval games and obtain characterizations of big boss interval games in terms of exactness and subadditivity.
Macroeconomic Volatility and Welfare in Developing Countries
Loayza, Norman V.; Rancière, Romain; Servén, Luis; Ventura, Jaume
2007-01-01
Macroeconomic Volatility and Welfare in Developing Countries: An Introduction Norman V. Loayza, Romain Ranciere, Luis Serven, ` and Jaume Ventura Macroeconomic volatility, both a source and a reflection of underdevelopment, is a fundamental concern for developing countries. This article provides a brief overview of the recent literature on macroeconomic volatility in developing countries, highlighting its causes, consequences, and possible remedies. to reduce domestic policy-induced macroecon...
Identify and Manage the Software Requirements Volatility
Khloud Abd Elwahab; Mahmoud Abd EL Latif; Sherif Kholeif
2016-01-01
Management of software requirements volatility through development of life cycle is a very important stage. It helps the team to control significant impact all over the project (cost, time and effort), and also it keeps the project on track, to finally satisfy the user which is the main success criteria for the software project. In this research paper, we have analysed the root causes of requirements volatility through a proposed framework presenting the requirements volatility causes and how...
Labour Demand and Exchange Rate Volatility
Udo Broll; Sabine Hansen
2004-01-01
The purpose of this paper is to assess under what conditions exchange rate volatility exerts a positive effect on a firm's labour demand. As the exchange rate volatility increases, so does the value of the export option provided the firm under study is flexible. Flexibility is important because it gives the firm option value. Higher volatility increases the potential gains from trade and may increase the demand for labour. This may explain part of the mixed empirical findings regarding the ef...
Equity Volatility and Corporate Bond Yields
John Y. Campbell; Glen B. Taksler
2002-01-01
This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields. The definitive version is available at www.blackwell-synergy.com.
Deutsch, A. N.; Head, J. W.
2018-05-01
We are interested in the flux of volatiles delivered to the polar regions of Mercury and the Moon through time. We integrate the production functions for volatile delivery from impacts, solar wind, and volcanism, which we focus on initially.
A fear index to predict oil futures returns
International Nuclear Information System (INIS)
Chevallier, Julien; Sevi, Benoit
2013-01-01
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also considered, capturing macro-economic, financial and oil-specific influences. The results indicate that the explanatory power of the (negative) variance risk premium on oil excess returns is particularly strong (up to 25% for the adjusted R-squared across our regressions). It complements other financial (e.g. default spread) and oil-specific (e.g. US oil stocks) factors highlighted in previous literature. (authors)
[Solidification of volatile oil with graphene oxide].
Yan, Hong-Mei; Jia, Xiao-Bin; Zhang, Zhen-Hai; Sun, E; Xu, Yi-Hao
2015-02-01
To evaluate the properties of solidifying volatile oil with graphene oxide, clove oil and zedoary turmeric oil were solidified by graphene oxide. The amount of graphene oxide was optimized with the eugenol yield and curcumol yield as criteria. Curing powder was characterized by differential scanning calorimetry (DSC) and scanning electron microscopy (SEM). The effects of graphene oxide on dissolution in vitro and thermal stability of active components were studied. The optimum solidification ratio of graphene oxide to volatile oil was 1:1. Dissolution rate of active components had rare influence while their thermal stability improved after volatile oil was solidified. Solidifying herbal volatile oil with graphene oxide deserves further study.
[Chemical components of Vetiveria zizanioides volatiles].
Huang, Jinghua; Li, Huashou; Yang, Jun; Chen, Yufen; Liu, Yinghu; Li, Ning; Nie, Chengrong
2004-01-01
The chemical components of the volatiles from Vetiveria zizanioides were analyzed by SPME and GC-MS. In the roots, the main component was valencene (30.36%), while in the shoots and leaves, they were 9-octadecenamide (33.50%), 2,6,10,15,19,23-hexamethyl-2,6,10,14,18,22-tetracosahexaene (27.46%), and 1,2-benzendicarboxylic acid, diisooctyl ester(18.29%). The results showed that there were many terpenoids in the volatils. In shoot volatiles, there existed 3 monoterpenes, 2 sequiterpenes and 1 triterpene. Most of the volatiles in roots were sesquiterpenes.
CAM Stochastic Volatility Model for Option Pricing
Directory of Open Access Journals (Sweden)
Wanwan Huang
2016-01-01
Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.
The effect of volatility on percutaneous absorption.
Rouse, Nicole C; Maibach, Howard I
2016-01-01
Topically applied chemicals may volatilize, or evaporate, from skin leaving behind a chemical residue with new percutaneous absorptive capabilities. Understanding volatilization of topical medications, such as sunscreens, fragrances, insect repellants, cosmetics and other commonly applied topicals may have implications for their safety and efficacy. A systematic review of English language articles from 1979 to 2014 was performed using key search terms. Articles were evaluated to assess the relationship between volatility and percutaneous absorption. A total of 12 articles were selected and reviewed. Key findings were that absorption is enhanced when coupled with a volatile substance, occlusion prevents evaporation and increases absorption, high ventilation increases volatilization and reduces absorption, and pH of skin has an affect on a chemical's volatility. The articles also brought to light that different methods may have an affect on volatility: different body regions; in vivo vs. in vitro; human vs. Data suggest that volatility is crucial for determining safety and efficacy of cutaneous exposures and therapies. Few articles have been documented reporting evaporation in the context of percutaneous absorption, and of those published, great variability exists in methods. Further investigation of volatility is needed to properly evaluate its role in percutaneous absorption.
Entropy: A new measure of stock market volatility?
Bentes, Sonia R.; Menezes, Rui
2012-11-01
When uncertainty dominates understanding stock market volatility is vital. There are a number of reasons for that. On one hand, substantial changes in volatility of financial market returns are capable of having significant negative effects on risk averse investors. In addition, such changes can also impact on consumption patterns, corporate capital investment decisions and macroeconomic variables. Arguably, volatility is one of the most important concepts in the whole finance theory. In the traditional approach this phenomenon has been addressed based on the concept of standard-deviation (or variance) from which all the famous ARCH type models - Autoregressive Conditional Heteroskedasticity Models- depart. In this context, volatility is often used to describe dispersion from an expected value, price or model. The variability of traded prices from their sample mean is only an example. Although as a measure of uncertainty and risk standard-deviation is very popular since it is simple and easy to calculate it has long been recognized that it is not fully satisfactory. The main reason for that lies in the fact that it is severely affected by extreme values. This may suggest that this is not a closed issue. Bearing on the above we might conclude that many other questions might arise while addressing this subject. One of outstanding importance, from which more sophisticated analysis can be carried out, is how to evaluate volatility, after all? If the standard-deviation has some drawbacks shall we still rely on it? Shall we look for an alternative measure? In searching for this shall we consider the insight of other domains of knowledge? In this paper we specifically address if the concept of entropy, originally developed in physics by Clausius in the XIX century, which can constitute an effective alternative. Basically, what we try to understand is, which are the potentialities of entropy compared to the standard deviation. But why entropy? The answer lies on the fact
The influence of volatility spill-overs and market beta on portfolio construction
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André Heymans
2015-05-01
Full Text Available This study adds to Modern Portfolio Theory (MPT by providing an additional measure to market beta in constructing a more efficient investment portfolio. The additional measure analyses the volatility spill-over effects among stocks within the same portfolio. Using intraday stock returns from five top-40 listed stocks on the JSE between July 2008 and April 2010, volatility spill-over effects were estimated with a residual- based test (aggregate shock [AS] model framework. It is shown that when a particular stock attracted fewer volatility spill-over effects from the other stocks in the portfolio, the overall portfolio volatility decreased as well. In most cases market beta showcased similar results. Therefore, in order to construct a more efficient risk- adjusted portfolio, one requires both a portfolio that has a unit correlation with the market (beta-based, and stocks that showcase the least amount of volatility spill-over effects amongst one another. These results might assist portfolio managers to construct lower mean variance portfolios.
TIME-VARYING BETA AND VOLATILITY IN THE KUALA LUMPUR STOCK EXCHANGE
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Mansor Ibrahim
2004-01-01
Full Text Available The paper analyzes the relationship between beta risk and aggregate market volatility for 12sized-based portfolios for the case of Malaysia using daily data from January 1988 to December 2000. The analysis is conducted for the entire sample as well as various sub-samples corresponding to (ithe upward trend in the market from January 1988-December 1992; (ii the huge influx of portfolio investments from January 1993-June 1997, and (Hi the Asian crisis and its aftermath from July 1997-December 2000. The results generally suggest instability in beta risk due to its significant response to aggregate market volatility. Additionally, we also note that the direction of relationship between beta risk and market volatility seems to depend on stock market conditions or sub-samples used. Namely, beta risk seems to decrease with increasing market volatility for the whole sample as well as the first and the third sub-samples. However, for the second sub-sample, their relationship turns to be positive. Lastly, the author have evidence for the Malaysian case that size does not play significant role in the way beta risk responds to aggregate market volatility. These results have important implications for investment decisions as well as for event analyses employing the market model to generate abnormal returns.
Stochastic volatility and leverage effect
Josep Perello; Jaume Masoliver
2002-01-01
We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated ...
Multivariate Option Pricing with Time Varying Volatility and Correlations
DEFF Research Database (Denmark)
Rombouts, Jeroen V.K.; Stentoft, Lars Peter
In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...... neutral dynamics for a general class of multivariate heteroskedastic models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the assumed underlying distribution and dynamics, and it nests several important special cases. We provide an application...... to options on the minimum of two indices. Our results show that not only is correlation important for these options but so is allowing this correlation to be dynamic. Moreover, we show that for the general model exposure to correlation risk carries an important premium, and when this is neglected option...
Returning to sports after a back injury
... medlineplus.gov/ency/patientinstructions/000518.htm Returning to sports after a back injury To use the sharing ... Back pain - returning to sports Which Type of Sport is Best? In deciding when and if to ...