نتایج جستجو برای: variance of degree index
تعداد نتایج: 21197956 فیلتر نتایج به سال:
We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options.We propose to use the difference between the realized variance and this synthetic variance swap rate to quantify the varia...
PURPOSE The purpose of this study was to examine the validity and reliability evidence for the Omron Healthcare HJ-151 and HJ-720ITC pedometers for prescribed and self-paced walking. METHODS A total of 47 adults (24 males, 23 females; age = 24 +/- 4.4 yr.; body mass index = 25.7 +/- 4.2 kg x m(-2)) participated in this study. Under prescribed walking conditions, 34 participants completed thre...
BACKGROUND The basis for this study is the fact that instrument error increases the variance of the distribution of body mass index (BMI). Combined with a defined cut-off value this may impact upon the estimated proportion of overweight and obesity. It is important to ensure high quality surveillance data in order to follow trends of estimated prevalence of overweight and obesity. The purpose o...
This paper analyzes the S&P 500 index return variance dynamics and the variance risk premium by combining information in variance swap rates constructed from options and quadratic variation estimators constructed from tick data on S&P 500 index futures. Estimation shows that the index return variance jumps. The jump arrival rate is not constant over time, but is proportional to the variance rat...
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