Search results for "volatility"
showing 10 items of 245 documents
A simple operation strategy of battery storage systems under dynamic electricity pricing: An Italian case study for a medium-scale public facility
2014
In the electricity market, wholesale energy prices depend on the balance between energy production and load demand. In the last few years, electricity market has become more and more flexible as many utilities have started to replace the fixed retail prices schemes with prices changing during the day. Dynamic pricing, also known as Real-Time Pricing (RTP), reflects the trend of the wholesale market and allows to reduce the volatility of the wholesale prices, also contributing to a reduction of demand peaks. Electricity customers take advantage of dynamic pricing by shifting their consumption according to the real-time prices or by using Battery Energy Storage Systems (BESS) to shift electri…
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 …
On the Stability of Stablecoins
2021
This paper investigates the volatility processes of stablecoins and their potential stochastic interdependencies with Bitcoin volatility. We employ a novel approach to choose the optimal combination for the power law exponent and the minimum value for the volatilities bending the power law. Our results indicate that Bitcoin volatility is well-behaved in a statistical sense with a finite theoretical variance. Surprisingly, the volatilities of stablecoins are statistically unstable and contemporaneously respond to Bitcoin volatility. Also, whereas the volatilities of stablecoins are not Granger-causal for Bitcoin volatility, lagged Bitcoin volatility exhibits Granger-causal effects on the vol…
Carbon and safe-haven flows
2022
<abstract> <p>This paper explores the role of European Union Allowances (EUAs) as a safe haven for a range of assets and analyses the effect of safe-haven flows on the European carbon futures market. In particular, we demonstrate that EUAs can be considered a refuge against fluctuations in corporate bonds, gold and volatility-related assets in periods of market turmoil. Furthermore, we have shown that extremely bearish and bullish movements in those assets for which the EUA acts as a safe haven induce excess volatility in carbon markets, higher carbon trading volume and larger than normal EUA bid-ask spreads. These findings support the idea that some traders, by considering carb…
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…
Saturated vapour pressure of aroma compounds at various temperatures
2004
Abstract The aim of this study was to determine experimentally the vapour pressures of aroma compounds at various temperatures, especially at negative ones. The aroma compounds were: acetone, 2-butanone, 2-hexanone, 2-octanone, ethyl acetate, ethyl butanoate, ethyl hexanoate, n-hexanal, n-hexanol and γ-hexalactone. The technique used was a static device where vapour pressure was measured at equilibrium. The temperatures of analysis varied from −40 to 25 °C. Volatility of a pure compound depends on characteristics such as length of the aliphatic chain, the functional group and temperature. Among an homologous series, volatility increases when the aliphatic chain decreases and when temperatur…
Volatility transmission in the CO<inf>2</inf> and energy markets
2009
The main consequence of the launch, in 2005, of the European Union Emission Trading Scheme (EU ETS) has been the establishment of a price for carbon emissions. Thus, major energy producers in Europe are now aware of the impact of their polluting activities. The interest in analysing the carbon markets from a financial point of view has exponentially increased since the launch of the EU ETS. However, no research articles have focused their attention on the volatility transmission between CO 2 and energy markets. The aim of this paper is to fill this gap in the literature. Specifically, our particular interest is to examine whether or not conditional volatility is transmitted across those mar…
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 …
Effects of heat treatment and acid-induced gelation on aroma release from flavoured skim milk
2010
Abstract Time dependent aroma release was studied in skim milk, heated skim milk as well as in acid-induced gels derived from them using static headspace – gas chromatography analysis. A variable order kinetic model was fitted to experimental data and was used to determine headspace equilibrium concentration and initial rates of release. When compared to water, retention in milk based matrices was increased for hydrophobic aroma compounds, while it was decreased for more hydrophilic volatiles. Acid gelation reduced the initial rate of aroma release by a factor varying from 2.0 to 3.8, depending on the compound. Positive deviation from the first order kinetics was observed and suggests that …
Mobility of plume-derived volcanogenic elements in meteoric water at Nyiragongo volcano (Congo) inferred from the chemical composition of single rain…
2017
The chemical composition of single rainfall events was investigated at Nyiragongo volcano (Democratic Republic of Congo) with the aim of determining the relative contributions of plume-derived elements. The different locations of the sampling sites allowed both plume-affected samples (hereafter referred to as “fumigated samples”) and samples representative of the local background to be collected. The chemical composition of the local background reflects the peculiar geographic features of the area, being influenced by biomass burning, geogenic dust, and biological activity. Conversely, fumigated samples contain large amounts of volcanogenic elements that can be clearly distinguished from th…