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搜索结果: 1-15 共查到Volatility相关记录212条 . 查询时间(0.14 秒)
With noisy and asynchronous high-frequency data collected for an ultra-large number of assets, we estimate high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure. A loca...
Research on income risk typically treats its proxy—income volatility, the expected magnitude of income changes—as if it were unchanged for an individual over time, the same for everyone at a point in ...
Recent research has documented a rise in the volatility of individual labor earnings in the United States since 1970. Existing measures of this trend abstract from within-group latent heterogeneity, e...
This study assesses the influence of error distributional assumption on appearance or disappearance of day-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The...
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
Climate variability is one of the major forces in the rise and fall of agrarian states in Mexico and Peru, according to a team of researchers looking at both climate and archaeological records."We are...
We investigate the relationship between foreign direct ownership of firms and firm- and regionhighly robust, relationship between firm-level foreign ownership and volatility of value...
Th e study analyzes the dynamic diff erences between the prices of black hogs and white hogs in Taiwan and determines whether these two products should be viewed as homogeneous commodities by an...
The impact of food assistance programs (food stamps) in a period of rising income inequality in the US is analyzed using 1978-1992 PSID data. We assess to what extent food assistance can be viewed...
How does uncertainty and credit constraints affect the cyclical composition of investment and thereby volatility and growth? This paper addresses this question within a model where firms engag...
The paper examines the price volatility spillovers among the crude oil, soybeans, corn, wheat, and sugar futures markets over the period 1/1/2006–11/29/2013. We separately investigate the periods of t...
Ammonia emissions from dairy and livestock operations are of significant environmental and human health concern in the United States. Conservation of ammonia from fall surface-applied manure could ben...

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