Search results for " volatility."
showing 10 items of 107 documents
Retention of aroma compounds by carbohydrates: Influence of their physicochemical characteristics and of their physical state a review
1998
Many aroma compounds, used to flavor food products, are used in a solid state, after encapsulation. Carbohydrates are the most common matrices used to entrap these volatiles. It has been observed that depending on the aroma compound and the carrier, efficiency can vary. This article reviews the influence of physicochemical properties of both the volatiles and the carriers on retention. The latter depends on the functional groups of the aroma compound. Moreover, it increases with molecular weight and decreases with the polarity and relative volatility of the aroma compound. This behavior can be explained by the effect of these properties on the diffusion of the aroma compound through the mat…
Increased efficacy of stereotactic ablative radiation therapy after bevacizumab in lung oligometastases from colon cancer.
2018
Aim: Metastases from colorectal cancer are poorly responsive to stereotactic ablative radiation therapy (SABR) due to intratumoral hypoxia. Intratumoral oxygenation is improved by administration of angiogenesis inhibitors. Thus, there could be a clinical synergistic effect of SABR with bevacizumab on metastases from colorectal cancer. The aim of this study was to evaluate the feasibility and efficacy of SABR after bevacizumab in lung oligometastases from colon cancer. Methods: The data of patients with lung metastases from colon cancer who underwent SABR were retrospectively evaluated according to the following inclusion criteria: number of metastases ≤3; lung oligometastases from colon can…
Dynamic Volatility Weighting in the Presence of Transaction Costs
2015
Numerous empirical studies demonstrate the superiority of dynamic strategies with volatility weighting over time mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility forecasts. Yet, in order to reap all benefits promised by volatility weighting over time, the composition of the active portfolio must be revised rather frequently. Transaction costs represent a serious obstacle to benefiting from this dynamic risk control technique. In this paper we propose a modified volatility weighting strategy that allows one to reduce dramatically the amount of trading costs. The empirical evidence shows that the advantages of the …
Spectral Structures in Econometrics: Modern Techniques in Wavelet Analysis and Band Limited Estimation
2007
This thesis presents a number of innovative techniques that can be used in the analysis of econometric data sequences in which the underlying components can be identified by their spectral signatures. To present these techniques intelligibly requires the preparatory expositions of Fourier analysis and of the theory of linear filtering that are presented in Chapters 2 and 3. Amongst the techniques for extracting components from short non stationary sequences that are described in Chapter 3 is a variant of the Hodrick--Prescott filter with a smoothing parameter that varies locally. This enables us to extract from the data trends that incorporate a number of structural breaks. The inadequacy o…
A Multicenter Large Retrospective Database on the Personalization of Stereotactic Ablative Radiotherapy for Lung Metastases From Colon-Rectal Cancer:…
2021
PURPOSE/OBJECTIVE(S): stereotactic ablative radiotherapy (SABR) has been shown to increase survival rates in oligometastatic disease (OMD), but local control of colorectal metastases still remains poor. We aimed to identify potential predictive factors of SBRT response through a multicenter large retrospective database and to investigate how lung SBRT can impact on the progression to the polymetastatic disease (PMD). MATERIALS/METHODS: the study involved 22 centers, and was approved by the Ethical Committee (Prot. Negrar 2019-ZT). 1023 lung metastases treated with SBRT in 622 patients were reported. The median BED was 105 Gy10. Lesion diameter GTV, PTV volume, dose, fractionations, and site…
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…
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.
Government consumption volatility and the size of nations
2016
This paper analyzes the relation between government consumption volatility and country size. Using an unbalanced sample of 160 countries from 1960 to 2010, it finds that smaller countries have more volatile government consumption. Moreover, while this relation is more negative for more volatile economies, there is also evidence that smaller countries have more volatile government consumption even controlling for the level of volatility in the economy.
Government size, composition, volatility and economic growth
2008
This paper analyses the effects in terms of size and volatility of government revenue and spending on growth in OECD and EU countries. The results of the paper suggest that both variables are detrimental to growth. In particular, looking more closely at the effect of each component of government revenue and spending, the results point out that i) indirect taxes (size and volatility); ii) social contributions (size and volatility); iii) government consumption (size and volatility); iv) subsidies (size); and v) government investment (volatility) have a sizeable, negative and statistically significant effect on growth. info:eu-repo/semantics/publishedVersion
The Stabilizing Role of Government Size
2007
This paper presents an analysis of how alternative models of the business cycle can replicate the stylized fact that large governments are associated with less volatile economies. Our analysis shows that adding nominal rigidities and costs of capital adjustment to an otherwise standard RBC model can generate a negative correlation between government size and the volatility of output. However, in the model, we find that the stabilizing effect is only due to a composition effect and it is not present when we look at the volatility of private output. Given that empirically we also observe a negative correlation between government size and the volatility of consumption, we modify the model by i…