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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...
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...
Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
Univariate and multivariatestable distributions MCMC Approximate,Aayesian,Computation Characteristic function
2012/11/21
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i)...
Temperature-induced volatility of molecular markers in ambient airborne particulate matter
molecular markers ambient airborne particulate matter
2011/1/19
Molecular markers are organic compounds used to represent known sources of particulate matter (PM) in statistical source apportionment studies. The utility of molecular markers depends on, among other...
Measurement of the ambient organic aerosol volatility distribution: application during the Finokalia Aerosol Measurement Experiment (FAME-2008)
the ambient organic aerosol volatility distribution the Finokalia Aerosol Measurement Experiment FAME-2008
2010/12/28
Spectrometer (AMS) and a Scanning Mobility Particle Sizer (SMPS) to measure the volatility distribution of aged organic aerosol in the Eastern Mediterranean during the Finokalia Aerosol Measurement Ex...
On the roles of sulphuric acid and low-volatility organic vapours in the initial steps of atmospheric new particle formation
sulphuric acid low-volatility organic vapours atmospheric particle formation
2010/12/20
Sulphuric acid and organic vapours have been identified as the key components in the ubiquitous secondary new particle formation in the atmosphere. In order to assess their relative contribution and s...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Stochastic volatility multi-scale asymptotic large deviation principle implied volatility smile/skew
2010/12/15
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor.
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model conditional expectation of variance
2010/12/16
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of vari...
We consider a stochastic volatility model with L´evy jumps for a log-return pro-cess Z = (Zt)t≥0 of the form Z = U +X, where U = (Ut)t≥0 is a classical stochastic volatility process and X = (Xt)...
Aerosols in the tropical and subtropical UT/LS: in-situ measurements of submicron particle abundance and volatility
Aerosols the tropical and subtropical UT/LS submicron particle abundance and volatility
2010/8/13
Processes occurring in the tropical upper troposphere (UT), the Tropical Transition Layer (TTL), and the lower stratosphere (LS) are of importance for the global climate, for stratospheric dynamics an...
Quantitative estimates of the volatility of ambient organic aerosol
ambient organic aerosol a tandem thermodenuder-aerosol mass spectrometer system Mexico City
2010/8/13
Measurements of the sensitivity of organic aerosol (OA, and its components) mass to changes in temperature were recently reported by Huffman et al.~(2009) using a tandem thermodenuder-aerosol mass spe...
A global perspective on aerosol from low-volatility organic compounds
aerosol low-volatility organic compounds
2010/8/12
Global production of organic aerosol from primary emissions of semivolatile (SVOCs) and intermediate (IVOCs) volatility organic compounds is estimated using the global chemical transport model, GEOS-C...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifet imeruin stochastic volatility
2010/4/27
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial mar...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifet imeruin stochastic volatility
2010/4/27
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial mar...
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
Volatility smile Black-Sholes model no-arbitrage conditions
2010/4/27
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strik...