Search results for " volatili."

Another Look at Value and Momentum: Volatility Spillovers

2017

This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period 1926-2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and that these shifts in spillover intensity can be linked to prominent economic events and financial market turmoil. Our results further demonstrate that value returns increase and momentum returns decrease monotonically with increasing volatility spillovers between the two strategies. Given this linkage between spillover intensity and ret…

An Operator Splitting Method for Pricing American Options

2008

Pricing American options using partial (integro-)differential equation based methods leads to linear complementarity problems (LCPs). The numerical solution of these problems resulting from the Black-Scholes model, Kou’s jump-diffusion model, and Heston’s stochastic volatility model are considered. The finite difference discretization is described. The solutions of the discrete LCPs are approximated using an operator splitting method which separates the linear problem and the early exercise constraint to two fractional steps. The numerical experiments demonstrate that the prices of options can be computed in a few milliseconds on a PC.

Indagini sulla presenza del feromone sessuale in Phyllonorycter delitella (Duponchel)

2009

Phyllonorycter delitella (Duponchel) (Lepidoptera: Gracillariidae) è un fillominatore che è stato rinvenuto nel 2004 nelle aree boschive siciliane su Roverella (Quercus pubescens Willd.). Nel presente lavoro si riportano i risultati delle indagini condotte sul feromone sessuale di questo fitofago, sotto il profilo comportamentale, chimico e morfologico. Per analizzare le risposte comportamentali di maschi vergini di P. delitella verso gruppi di femmine conspecifiche in fase di richiamo sono stati condotti biosaggi in olfattometro a due vie. Le prove hanno evidenziato un’attrazione significativa degli individui osservati verso le femmine vergini. Partendo da questi risultati è stata effettua…

Effetti dell'esposizione a tracce di anestetici volatili sulle diverse professionalità operanti in sala operatoria a prevalente indirizzo pediatrico.

2011

Business cycle volatility and country size: evidence for a sample of OECD countries

2008

The main purpose of this paper is to investigate the relationship between business cycle volatility and country size using quarterly data for a sample of OECD countries over 1960-2000. The results suggest very strongly that the relationship between country size and business cycle volatility is negative and statistically significant. This finding is very robust, suggesting that country size does matter, at least for the severity of cyclical fluctuations.

The stabilizing effect of volatility in financial markets

2017

In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To investigate this surprising feature, here we propose using the mean first hitting time, i.e. the average time a stock return takes to undergo for the first time a large negative or positive variation, as an indicator of price stability, and relate this to a standard measure of volatility. In an empirical analysis of daily returns for $1071$ stocks traded in the New York Stock Exchange, we find that this measure of stability displays nonmonotonic behavior, …

SEA presidential address: Group connectivity and cooperation

2011

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately symmetric to the sign on VIBEX-NEW changes and asymmetric to the IBEX-35 returns sign, which make it clearly a suitable volatility index for the Spanish stock market. We also examine the relationship between curr…

Approach to the 1-propanol dehydration using an extractive distillation process with ethylene glycol

2015

Abstract The extractive distillation process exploits the capacity of some chemicals to alter the relative volatility between the components of a mixture. In this way, a third component (called entrainer) may be added to an azeotropic binary mixture to break the azeotrope. This paper discusses the potential use of ethylene glycol as entrainer in a 1-propanol dehydration process by extractive distillation. First, the present work focuses on the acquisition of isobaric vapor–liquid equilibrium data of the ternary system 1-propanol + water + ethylene glycol system and the binaries systems 1-propanol + ethylene glycol and water + ethylene glycol. All measurements were done at 101.3 kPa. The exp…

The shape of small sample biases in pricing kernel estimations

2016

AbstractNumerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio of two separate density estimations. In the first step, we analyse theoretically the functional dependence for the ratio of a density to its estimated density; this cautions the reader regarding potential computational issues coupled with statistical techniques. In the second step, we study this quantitatively; we show that small sample biases shape the estimated pricing kernel, and that est…

A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data

2008

The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business and Economic Statistics, 20, 147–162] for the stochastic volatility factor model discussed by Harvey, Ruiz, and Shephard [Harvey, A.C., Ruiz, E., Shephard, N., 1994. Multivariate Stochastic Variance Models. Review of Economic Studies, 61, 247–264]. We provide theoretical and Monte Carlo results on this method and apply it to S&P data.