volatility of the hydrogenated DPB products and its effects on the hydrogen uptake kinetics were also analyzed. …

The peaking of world oil production presents the U.S. and the world with an unprecedented risk management problem. As … peaking is approached, liquid fuel prices and price volatility will increase dramatically, and, without timely mitigation, the … this analysis was to identify the critical issues surrounding the occurrence and mitigation of world oil production peaking …

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time … factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its … special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces of the estimation …

Alternate Models for Forecasting Hedge Fund ReturnsMichael HoldenFaculty Sponsor: Gordon Dash, Finance and Decision … SciencesInvestors have always wanted to improve the efficiency of modeling realized volatility to maximize directional trading returns … forecast methods in producing one-period ahead change-of-direction when forecasting the expected returns of various hedge fund …

long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in … estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model … volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …