Search results for "Mile"
showing 10 items of 380 documents
Vehicle routing with private and shared delivery locations
2021
Abstract The rapid growth of e-commerce has led to an increase of home delivery requests. Providing efficient distribution systems for services on the last mile has become a challenging issue for logistics companies, where a trade-off between the classical approaches, attended home delivery (AHD) and usage of shared delivery locations (SDLs) has been identified. AHD provides a higher quality of service but implies very high costs for the company, while usage of SDL requires customers to perform the very last mile by themselves. For companies, this bears the risk of a decrease in the perceived service quality. However, due to consolidation effects, transportation costs can be considerably mi…
Collezioni numismatiche dei Musei della Provincia di Caltanissetta
2014
The contribution presents the numismatic collections of the province of Caltanissetta, focusing on the formation and the peculiarities of the composition.
Crocifissi di frate Umile e di frate Innocenzo tra la Spagna e Malta
2013
Il saggio prende in esame tre crocifissi lignei che oggi si trovano in Spagna e a Malta, opere dei frati Umile e Innocenzo da Petralia, ricostruendone le vicende storiche attraverso lo studio dei documenti che li riguardano.
«Largo a noi, all’alta battaglia»: l’engagement di Zola nella ricezione italiana
2016
Germinal, uscito sul “Gil Blas” dal 25 novembre 1884 al 24 febbraio 1885, e nel marzo 1885 in volume, tradotto e pubblicato contemporaneamente in Italia sulla “Tribuna”, da sempre tra i libri più noti e amati di Zola, è la storia della vita in un distretto minerario, di un lungo e tragico sciopero, dell’espansione dell’Internazionale socialista: prende il titolo da quello che nel calendario della Rivoluzione francese è il primo mese di primavera, e annuncia un’altra rivoluzione. È un romanzo complesso, per più versi ambivalente: evidenzia l’esigenza della protesta, ma anche i torti dei leader politici e l’inclinazione delle masse alla violenza; alterna descrizioni meticolose a possenti imma…
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…
Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets
2013
Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. The second-order structure and stationarity of the model are analyzed in detail. A simulation method for Monte Carlo generation of price paths is introduced and a numerical example is presented.
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, …
A Multivariate Non-Gaussian Stochastic Volatility Model with Leverage for Energy Markets
2009
Spot prices in energy markets exhibit special features like price spikes, mean-reversion inverse, stochastic volatility, inverse leverage effect and co-integration between the different commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. Second order structure and stationary issues of the model are analysed. Moreover the implied multivariate forward model is derived. Due to the flexibility of the model stylized facts of the forward curve as contango, backwardation and humps are explained. Moreover, a transformed-based method to price options on the forward is described, where fast and precise algorithms for price computations ca…
Firm Size and Volatility Analysis in the Spanish Stock Market
2011
In this article, three strongly related questions are studied. First, volatility spillovers between large and small firms in the Spanish stock market are analyzed by using a conditional CAPM with an asymmetric multivariate GARCH-M covariance structure. Results show that there exist bidirectional volatility spillovers between both types of firms, especially after bad news. Second, the volatility feedback hypothesis explaining the volatility asymmetry feature is investigated. Results show significant evidence for this hypothesis. Finally, the study uncovers that conditional beta coefficient estimates within the used model are insensitive to sign and size asymmetries in the unexpected shock re…
Univariate and multivariate statistical aspects of equity volatility
2004
We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.