Search results for " volatili."
showing 10 items of 128 documents
The term structure of volatility predictability
2020
Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about the accuracy of volatility forecasts and the horizon of volatility predictability. This paper aims to fill these gaps in the literature. We begin this paper by introducing the notions of the spot and forward predicted volatilities and propose to describe the term structure of volatility predictability by the spot and forward forecast accuracy curves. Then we perform a comprehensive study on the term structure of volatility predictability in the stock and foreign exchange markets. Our results quantify the volatility forecast accuracy across horizons …
Isobaric Vapor−Liquid Equilibria for Water + Acetic Acid + Sodium Acetate
2003
Isobaric vapor−liquid equilibria for the binary water + sodium acetate and acetic acid + sodium acetate systems and ternary mixtures of water, acetic acid, and sodium acetate have been measured at 100 kPa with a recirculating still. The addition of sodium acetate to water + acetic acid mixtures produced an appreciable rise in equilibrium temperature but a small effect on the relative volatility of water, which was augmented at higher water solvent concentrations and decreased at lower concentrations. These effects increased with higher salt concentrations. The experimental binary data sets have been correlated using a modified Mock's electrolyte NRTL model, which takes into account the asso…
Effetti dell'esposizione a tracce di anestetici volatili sulle diverse professionalità operanti in sala operatoria a prevalente indirizzo pediatrico.
2011
Influenza di parametri fermentativi sulla composizione di vini Catarratto
2011
Empirical Study on the Relationship between the Cross-Correlation among Stocks and the Stocks' Volatility Clustering
2013
In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level of predictability of any volatility time-series and the amount of its inter-dependence with other assets. In all considered cases, the more the asset is linked to other assets, the more its volatility keeps memory of …
Las perturbaciones externas en la economía española tras la integración: ¿tamaño del shock o grado de respuesta?
2007
El objetivo de este trabajo es analizar si ha aumentado la influencia de los shocks europeos en el ciclo económico español tras el proceso de integración en Europa. Se estudia si los cambios observados se deben a un cambio en la magnitud relativa de los shocks (estadounidenses, europeos e internos) y/o a cambios en el grado de respuesta. Los resultados muestran que los efectos de un shock europeo han aumentado: un shock del mismo tamaño afectaría hoy más a la economía española de lo que lo hacía en los setenta, mientras que un shock interno provocaría hoy una respuesta sustancialmente menor.
Active moss monitoring allows to identify and track distribution of metal(loid)s emitted from fumaroles on Vulcano Island, Italy
2014
Abstract Volatile metal(loid)s are known to be emitted from volcanoes worldwide. We tested the suitability of active moss monitoring for tracking volatile metal(loid)s released from the fumarolic field on Vulcano Island, Italy, and differentiated fumaroles from other sources of gaseous and particulate trace elements such as sea spray and soil. Metal(loid) accumulation on the mosses per day did depend neither on the state of the exposed moss (dead or living) nor exposure time (3, 6, or 9 weeks). After collection, mosses were digested with either HNO3/H2O2 or deionized water and analyzed by ICP-MS. While for most elements both extraction methods yielded similar concentrations, higher concentr…
IMPORTANCIA DE LAS PERTURBACIONES EXTERNAS EN LA ECONOMÍA ESPAÑOLA TRAS LA INTEGRACIÓN: ¿TAMAÑO DEL SHOCK O GRADO DE RESPUESTA?
2005
This paper analyses whether the impact of European shocks in the Spanisheconomy has increased after the entry of Spain in the European Community. UsingVAR models, we try to disentangle whether the change in the importance of Europe isdue to a change in the size of the shocks or in the propagation effects. The results showsthat after 1986, despite the decrease in the size of European shocks, their impact on theSpanish business cycle has increases due to a larger sensitivity of the Spanish economyto these shocks. El objetivo de este trabajo es analizar si ha aumentado la influencia de los shocks europeos en la economía española tras el proceso de integración en Europa, distinguiendo si los ca…
ANALYZING THE EUROPEAN MARKET OF INTEREST RATE SWAP INDICES
2012
The interest rate risk is the most important risk that derives from the OTC transactions, taking into consideration both the notional amounts and the market value of the financial derivatives that relies on interest rate contracts. Open positions on interest rate derivatives represents more than 75% of the OTC market. In the European banking market interest rate swaps prices are strongly dependent on the interbank interest rates. In this paper we want to analyze the behavior of the Eoniaswap indices and their impact on the interest rate swaps between banks.
Impact of Renewables in Spanish Electricity Markets
2021
El objetivo de la presente tesis es analizar el impacto de la introducción de las energías renovables en el sistema eléctrico español. El sistema eléctrico español es elegido como ejemplo paradigmático debido al intenso crecimiento observado en las renovables en los últimos años, en especial de energía eólica. Su contenido se estructura en 3 capítulos: En el primer Capitulo, ”Effects of renewable on the stylized facts of electricity prices”, se analiza el impacto de las renovables en el precio resultante de la subasta del mercado diario (también llamado precio spot) siendo objeto de estudio no solo el comportamiento del precio en niveles, sino también sus características principales, como …