Controlling the Thermal Stability and Volatility of Organogold(I) Compounds for Vapor Deposition with Complementary Ligand Design
Sign Up to like & getrecommendations! Published in 2019 at "European Journal of Inorganic Chemistry"
DOI: 10.1002/ejic.201901087
Abstract: Atomic layer deposition (ALD) of gold is being studied by multiple research groups, but to date no process using non-energetic co-reactants has been demonstrated. In order to access milder co-reactants, precursors with higher thermal stability… read more here.
Keywords: volatility; ligand; vapor deposition; deposition ... See more keywords
Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Forecasting"
DOI: 10.1002/for.2463
Abstract: This paper uses high-frequency continuous intraday electricity price data from the EPEX market to estimate and forecast realized volatility. Three different jump tests are used to break down the variation into jump and continuous components… read more here.
Keywords: realized volatility; volatility; intraday electricity; continuous intraday ... See more keywords
Modeling and Forecasting Aggregate Stock Market Volatility in Unstable Environments using Mixture Innovation Regressions
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DOI: 10.1002/for.2466
Abstract: We examine whether it is possible to improve volatility forecasts by simultaneously accounting for parameter instability and model uncertainty. Changes in the regression coefficients and/or the error variance are driven by mixture distributions for state… read more here.
Keywords: volatility; stock market; modeling forecasting; mixture ... See more keywords
Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Forecasting"
DOI: 10.1002/for.2648
Abstract: This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y ιlmaz (Journal… read more here.
Keywords: impulse response; volatility impulse; volatility; analysis ... See more keywords
What matters when developing oil price volatility forecasting frameworks
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Forecasting"
DOI: 10.1002/for.2815
Abstract: Forecasting oil price volatility is considered of major importance for numerous stakeholders, including, policy makers, industries and investors. This paper examines and evaluates the main factors that oil price volatility forecasters should take before constructing… read more here.
Keywords: price volatility; oil price; volatility; forecasting ... See more keywords
The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Futures Markets"
DOI: 10.1002/fut.21829
Abstract: We address an important yet unanswered question: What would be the economic determinants of the implied volatility during the zero lower bound periods? To answer this question, we examine time variations of the cap market… read more here.
Keywords: zero lower; implied volatility; volatility; markets zero ... See more keywords
Forecasting the Volatility of Nikkei 225 Futures
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DOI: 10.1002/fut.21847
Abstract: For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the… read more here.
Keywords: volatility nikkei; volatility; nikkei 225; 225 futures ... See more keywords
Volatility discovery and volatility quoting on markets for options and warrants
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21900
Abstract: In several countries, classical options markets coexist with markets for bank-issued options, also termed warrants. It is an open question if warrant issuers purely adopt options market information about future volatility or if they contribute… read more here.
Keywords: volatility discovery; volatility; volatility quoting; quoting markets ... See more keywords
On full calibration of hybrid local volatility and regime‐switching models
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DOI: 10.1002/fut.21901
Abstract: Calibrating local regime†switching models is a challenging problem, especially when the volatility functions are assumed to depend on both of the underlying price and time. In this paper, the inverse problem of determining local… read more here.
Keywords: regime switching; volatility; switching models; local volatility ... See more keywords
Policy impact on volatility dynamics in commodity futures markets: Evidence from China
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DOI: 10.1002/fut.21905
Abstract: Chinese financial markets play an ever more pertinent role in the global economic context and are therefore increasingly relevant for stabilizing the economy. In this paper, we scrutinize the impact of a series of new… read more here.
Keywords: futures markets; volatility; commodity; policy impact ... See more keywords
Speculation and volatility-A time-varying approach applied on Chinese commodity futures markets
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21984
Abstract: Experts have long discussed and empirically investigated whether speculative activity increases volatility on commodity futures markets. Little empirical research, however, analyzes the role of speculators on commodity futures markets in China. Using time‐varying vector autoregression… read more here.
Keywords: speculation; volatility; futures markets; time ... See more keywords