Search results for " volatility"
showing 10 items of 113 documents
Growth Volatility Indices
2006
We study the determinants of growth rate volatility in a multisector economy where sectors are heterogeneous in their individual volatility. We propose a model where aggregate volatility is explained by structural change and the size of the economy. We present a first attempt to test these predictions measuring growth volatility by indices based on Markov transition matrices. Growth volatility appears to (i) decrease with total GDP and (ii) increase with the share of the agricultural sector on GDP, although some nonlinearities appear. Trade openness, which we relate to the size of the economy, also plays a role. In accordance with our model, the explanatory power of per capita GDP, a releva…
Proportional Small Sample Bias in Pricing Kernel Estimations
2014
Numerous 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 a first step, we analyze theoretically the functional dependence for the ratio of a density to its estimated density; this cautions the reader of potential computational issues coupled with statistical techniques. In a second step, we study this quantitatively; we show that small sample biases shape the estimated pricing kernel, and that estimated pricing kern…
Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
2013
In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.
Available evidence on re-irradiation with stereotactic ablative radiotherapy following high-dose previous thoracic radiotherapy for lung malignancies
2015
Patients affected with intra-thoracic recurrences of primary or secondary lung malignancies after a first course of definitive radiotherapy have limited therapeutic options, and they are often treated with a palliative intent. Re-irradiation with stereotactic ablative radiotherapy (SABR) represents an appealing approach, due to the optimized dose distribution that allows for high-dose delivery with better sparing of organs at risk. This strategy has the goal of long-term control and even cure. Aim of this review is to report and discuss published data on re-irradiation with SABR in terms of efficacy and toxicity. Results indicate that thoracic re-irradiation may offer satisfactory disease c…
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015
In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to be the classical Black and Scholes solution, the correction terms appear at $O(\varepsilon^{1/2})$ and $O(\varepsilon)$. The optimal hedging strategy is then explicitly obtained for the Scott's model.
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…
Isobaric vapor-liquid equilibria for extractive distillation of 1-propanol + water mixture using thiocyanate-based ionic liquids
2017
Abstract This paper presents vapor-liquid equilibrium (VLE) data at 101.3 kPa for the ternary systems 1-propanol + water + 1-ethyl-3-methylimidazolium thiocyanate [emim][SCN] and 1-propanol + water + 1-butyl-3-methylimidazolium thiocyanate [bmim][SCN] and their constituents binary systems. The experimental data obtained were correlated using the NRTL, eNRTL and UNIQUAC models. It was found that the addition of these ionic liquids enhance the relative volatility of 1-propanol to water, and the separation ability follows the order of [emim][SCN] > [bmim][SCN]. The results obtained were compared with the VLE data of the system containing this azeotropic mixtures with different imidazolium-base…
Has the Introduction of Bitcoin Futures on Regulated Exchanges Decreased Price Volatility?
2019
Master's thesis Business Administration BE501 - University of Agder 2019 Bitcoin is a tremendously debated phenomenon in the world of finance and in recent the scientific literature on the topic has expanded. In this thesis,the bitcoin to US dollar exchange rate is examined through various conditional variance models to describe its highly volatile nature. We examine whether the introduction of bitcoin futurescontractsin late 2017 has had a decreasing impact on price volatility by estimatingthe unconditional variance. The log-return of the bitcoin exchange rate is analysed,and there is evidence of volatility clustering and time-varying volatility. Consequently, the variance is modelled thro…
Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models
2013
This paper aims to analyse the market risk (estimated by Value-at-Risk) on the Romanian capital market using modern econometric tools to estimate volatility, such as EWMA, GARCH models. In this respect, I want to identify the most appropriate volatility forecasting model to estimate the Value-at-Risk (VaR) of a portofolio of representative indices (BET, BET-FI and RASDAQ-C). VaR depends on the volatility, time horizon and confidence interval for the continuous returns under analysis. Volatility tends to happen in clusters. The assumption that volatility remains constant at all times can be fatal. It is determined that the most recent data have asserted more influence on future volatility th…
THE CARMA INTEREST RATE MODEL
2014
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.