Search results for "Volatility"
showing 10 items of 245 documents
Volatility spillovers in the European bank CDS market
2015
From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads data from January 2006 to March 2013, thispaper sheds light on the impact of three recent significant events ofcredit risk volatility transmission between, firstly, Eurozone andnon-Eurozone banks, and then between distressed peripheral andcore countries inside the Eurozone. We employ an asymmetricmultivariate BEKK model to measure cross-market volatility spil-lovers. We find that both recent crises are distinct episodes. Theglobal financial crisis that originated outside Eu…
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…
Radical Formation by Fine Particulate Matter Associated with Highly Oxygenated Molecules
2019
Highly oxygenated molecules (HOMs) play an important role in the formation and evolution of secondary organic aerosols (SOA). However, the abundance of HOMs in different environments and their relation to the oxidative potential of fine particulate matter (PM) are largely unknown. Here, we investigated the relative HOM abundance and radical yield of laboratory-generated SOA and fine PM in ambient air ranging from remote forest areas to highly polluted megacities. By electron paramagnetic resonance and mass spectrometric investigations, we found that the relative abundance of HOMs, especially the dimeric and low-volatility types, in ambient fine PM was positively correlated with the formatio…
Influence of the food matrix structure on the retention of aroma compounds.
2000
The retention of the aroma compounds in a multicomponent medium like the food matrix is influenced by their affinity with the protein when lipid is present at a low level (0.5%). The effect of the structure of the media is also studied by using two media with the same composition; one was emusified, and the other was not. Among the studied aroma compounds, 2-nonanone and isoamyl acetate present opposite behaviors: the volatility of isoamyl acetate is not affected by the change of the medium structure whereas that of 2-nonanone increases. The decrease of retention of 2-nonanone in an emulsified system would be due to a modification of the fixation site for this compound on the protein or to …
Trend Switching Processes in Financial Markets
2010
For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes at a specific point from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating increasing trends (“bubble formation”) and decreasing trends (“bubble collapse”), on time scales ranging from macroscopic bubbles persisting for hundreds of days to microscopic bubbles persisting only for very short time scales. Our analysis is based on a German DAX Future data base containing 13,991,275 transactions recorded with a time resolution of 10− 2 s. For a parallel analysis, we use a data base of all S&P500 stocks …
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…