Measuring and testing the impact of news on volatility
RF Engle, VK Ng - The journal of finance, 1993 - Wiley Online Library
This paper defines the news impact curve which measures how new information is incorporated
into volatility estimates. Various new and existing ARCH models including a partially …
into volatility estimates. Various new and existing ARCH models including a partially …
Modeling asymmetric comovements of asset returns
KF Kroner, VK Ng - The review of financial studies, 1998 - academic.oup.com
Existing time-varying covariance models usually impose strong restrictions on how past
shocks affect the forecasted covariance matrix. In this article we compare the restrictions …
shocks affect the forecasted covariance matrix. In this article we compare the restrictions …
Asset pricing with a factor-ARCH covariance structure: Empirical estimates for treasury bills
RF Engle, VK Ng, M Rothschild - Journal of econometrics, 1990 - Elsevier
… fiK]‘, ie, w’flk = 0 Vk. The conditional variance of the excess return of a portfolio constructed
… The plots for the estimates of the PEWBI’s, as reported in table 4 and in Engle, Ng, and …
… The plots for the estimates of the PEWBI’s, as reported in table 4 and in Engle, Ng, and …
Option valuation with systematic stochastic volatility
KI Amin, VK Ng - The Journal of Finance, 1993 - Wiley Online Library
We use an extension of the equilibrium framework of Rubinstein ( 1976 ) and Brennan ( 1979
) to derive an option valuation formula when the stock return volatility is both stochastic and …
) to derive an option valuation formula when the stock return volatility is both stochastic and …
Fundamentals and volatility: Storage, spreads, and the dynamics of metals prices
VK Ng, SC Pirrong - Journal of Business, 1994 - JSTOR
The theory of storage implies that inventory and demand conditions affect (a) the variances
and correlations of commodity spot and forward prices and (b) the spread between spot and …
and correlations of commodity spot and forward prices and (b) the spread between spot and …
Effects of fish gelatin and tea polyphenol coating on the spoilage and degradation of myofibril in fish fillet during cold storage
X Feng, VK Ng, M Mikš-Krajnik, H Yang - Food and Bioprocess …, 2017 - Springer
Fish fillet is easily spoiled during storage. Antimicrobial edible coating of gelatin extracted
from fish skins and bones and tea polyphenol (TP) was developed to inhibit the spoilage of …
from fish skins and bones and tea polyphenol (TP) was developed to inhibit the spoilage of …
Can food banks sustain nutrient requirements? A case study in Southwestern Ontario
Background Concerns about adequate food supply is a mounting problem in Canada, making
food bank visits a necessity for over 820,000 Canadians. Given this reliance, the purpose …
food bank visits a necessity for over 820,000 Canadians. Given this reliance, the purpose …
Inferring future volatility from the information in implied volatility in Eurodollar options: A new approach
KI Amin, VK Ng - The Review of Financial Studies, 1997 - academic.oup.com
We study the information content of implied volatility from several volatility specifications of
the Heath–Jarrow–Morton (1992) (HJM) models relative to popular historical volatility models …
the Heath–Jarrow–Morton (1992) (HJM) models relative to popular historical volatility models …
Price dynamics in refined petroleum spot and futures markets
VK Ng, SC Pirrong - Journal of Empirical Finance, 1996 - Elsevier
This article characterizes the spot and futures price dynamics of two important physical
commodities, gasoline and heating oil. Using a non-linear error correction model with time-…
commodities, gasoline and heating oil. Using a non-linear error correction model with time-…
Acknowledging stigma: its presence in patient care and medical education
RE Dubin, A Kaplan, L Graves, VK Ng - Canadian Family Physician, 2017 - cfp.ca
Elaine is a 48-year-old woman with chronic pain due to fbromyalgia and postsurgical pain,
and she has been prescribed opioids for this pain for a number of years. Elaine works full-…
and she has been prescribed opioids for this pain for a number of years. Elaine works full-…