Shift

We introduce and define the concept of stream volatility, and propose a novel technique to detect volatility on data streams in the presence of concept drifts.

After a period of about two years with fairly steady price increases and persistently low volatility, global stock markets experienced a notable price and ...

由 M Aloy 著作 · 2014 — This paper attempts to provide evidence of “shift-volatility” transmission in the East Asian equity markets. By shift-volatility, we mean the volatility shifts ...

由 Y Dendramis 著作 · 2015 · 被引用 30 次 — First, it shows that, indeed, shifts in volatility can be triggered by large return shocks. Most of these shifts are quite persistent and are due to negative ...

由 CSJ Chu 著作 · 1996 · 被引用 80 次 — Volatility is higher when returns are either above or below the normal regime—the further returns deviate from the normal regime, the higher the volatility.

由 RA Haugen 著作 · 1991 · 被引用 257 次 — In Section II we present our results on the characteristics of the volatility shifts and the associated changes in price levels and expected returns. In.

Personal Consumption Expenditures, the preferred measure for inflation by the Federal Reserve Board (FRB), came out at 1.5% year over year. This figure is well ...

由 DS Broca 著作 · 1994 · 被引用 5 次 — The volatility or risk parameter, usually defined as the standard deviation of stock returns, forms the cornerstone of contemporary finance theories.

2023年9月6日 — Volatility skew occurs due to the difference in implied volatility (IV) levels of options with different strike prices but the same expiration ...

A higher volatility means that a security's value can potentially be spread out over a larger range of values. This means that the price of the security can ...