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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
噪声 异步高频 数据估算 因子 现货波动率 矩阵
2023/5/4
With noisy and asynchronous high-frequency data collected for an ultra-large number of assets, we estimate high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure. A loca...
Semiparametric Bayesian Modeling of Income Volatility Heterogeneity
hierarchical Dirichlet process income volatility state-space models
2016/3/18
Research on income risk typically treats its proxy—income volatility, the expected magnitude of income changes—as if it were unchanged for an individual over time, the same for everyone at a point in ...
Recent research has documented a rise in the volatility of individual labor earnings in the United States since 1970. Existing measures of this trend abstract from within-group latent heterogeneity, e...
Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?
Day-of-the-week Disappearance GARCH Model Stock
2016/1/27
This study assesses the influence of error distributional assumption on appearance or disappearance of day-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The...
On Implied Volatility for Options – Some Reasons to Smile and More to Correct
Bias correction Implied volatility,Kernel estimator Pricing errors
2016/1/25
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/25
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
On Implied Volatility for Options – Some Reasons to Smile and More to Correct
Bias correction Implied volatility Kernel estimator Pricing errors
2016/1/20
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/20
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
Rise and fall of agrarian states influenced by climate volatility
Rise and fall agrarian states climate volatility
2015/11/12
Climate variability is one of the major forces in the rise and fall of agrarian states in Mexico and Peru, according to a team of researchers looking at both climate and archaeological records."We are...
We investigate the relationship between foreign direct ownership of firms and firm- and regionhighly robust, relationship between firm-level foreign ownership and volatility of value...
Do hog breeds matter? Investigating the price volatility in the Taiwan’s auction market
black hog indigenous hog breeds price actions
2015/7/28
Th e study analyzes the dynamic diff erences between the prices of black hogs and white hogs in Taiwan and determines whether these two products should be viewed as homogeneous commodities by an...
Income Volatility and Household Consumption: The Impact of Food Assistance Programs
Income Volatility and Household Consumption Food
2015/7/23
The impact of food assistance programs (food stamps) in a period of rising income inequality in
the US is analyzed using 1978-1992 PSID data. We assess to what extent food assistance can be
viewed...
Volatility and growth: Credit constraints and the composition of investment
Growth Volatility Credit constraints
2015/7/21
How does uncertainty and credit constraints affect the cyclical composition of
investment and thereby volatility and growth? This paper addresses this question
within a model where firms engag...
Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator
agricultural commodity market financial crisis of 2008–2009 futures markets historical price volatility intra-day data
2015/6/8
The paper examines the price volatility spillovers among the crude oil, soybeans, corn, wheat, and sugar futures markets over the period 1/1/2006–11/29/2013. We separately investigate the periods of t...
Assesment of Ammonia Volatility from Fall Surface-Applied Liquid Dairy Manure
Manure Ammonia Volatility Nitrogen Cycle
2014/11/17
Ammonia emissions from dairy and livestock operations are of significant environmental and human health concern in the United States. Conservation of ammonia from fall surface-applied manure could ben...