نتایج جستجو برای: keywords volatility

تعداد نتایج: 1993260  

2013
I-Fan Chen Chin-Hui Lee

A hierarchical framework is proposed to address the issues of modeling different type of words in keyword spotting (KWS). Keyword models are built at various levels according to the availability of training set resources for each individual word. The proposed approach improves the performance of KWS even when no training speech is available for the keywords. It also suggests an easier way to co...

Journal: :Journal of Object Technology 2007
Mourad Debbabi M. Fourati

boolean byte class double else extends final finally float if implements int interface long native new private public return short static super synchronized this throw throws transient try void volatile while ( ) [ ] { } ; , . = Figure 1: Java keywords.

2017
Abdelhakim Aknouche

This paper proposes a stochastic volatility model (PAR-SV ) in which the log-volatility follows a …rst-order periodic autoregression. This model aims at representing time series with volatility displaying a stochastic periodic dynamic structure, and may then be seen as an alternative to the familiar periodic GARCH process. The probabilistic structure of the proposed PAR-SV model such as periodi...

Journal: :Management Science 2009
Peter F. Christoffersen Steven Heston Kris Jacobs

State-of-the-art stochastic volatility models generate a “volatility smirk” that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk. However, the data indicate that the slope and the level of the smirk ‡uctuate largely independently. Whil...

2013

This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of he...

2012
Gani Aldashev Vincenzo Verardi Thierry Verdier Romain Houssa

This paper studies the causal e¤ect of aid volatility on the economic performance of developing countries in 2000-2009 period. We construct a time-varying measure of aid volatility using autoregressive conditional heteroskedasticity (ARCH). We control for the endogeneity of aid ‡ows by using as instruments for aid volatility three characteristics of donor counitres: (i) their budget de…cits ; (...

ژورنال: اقتصاد مالی 2019

در این مقاله، صحت‌وسقم وجود رابطه برابری اختیار خرید-اختیار فروش برای 8 قرارداد مورد بررسی قرار گرفته‌است. شواهد این پژوهش حاکی از این است که این برابری در 6 قرارداد وجود نداردو لذا فرصت آربیتراژ وجود دارد. در مرحله بعد با استفاده از فرمول بلک-شولز، 8 قرارداد منتشره در این بازار ارزش‌گذاری شده است. تلاطم واقعی از داده‌های تاریخی و تلاطم القایی از فرمول بلک-شولز با استفاده از روش‌ها و الگوریتم‌ه...

2015
Jitka Hilliard

a r t i c l e i n f o Keywords: Price-change implied volatility Implied volatility S&P 500 options Futures contracts We use a regression model to test observed price changes with Greeks as regressors. Greeks are computed using implied volatility, price-change implied volatility and historical volatility. We find sufficient evidence to reject model Greeks as unbiased responses to underlying pric...

Journal: :Community Literacy Journal 2010

نمودار تعداد نتایج جستجو در هر سال

با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید