8 Works

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

Peter Christoffersen, Bruno Feunou, Kris Jacobs & Nour Meddahi
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we develop a new class of affine discrete-time option valuation models that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas and we assess the option valuation properties using...

Recovery after the Rupture

Aarzoo Singh
The notion of home and belonging, specifically in the context of South Asian postcolonial diasporas, is connected to past traumas of colonization and displacement. This paper addresses how trauma, displacement, and colonialism can be understood through and with material culture, and how familial objects and items emit and/ or carry within them, emotional narratives. I turn to the affective currency that emit and are transferred on and down from objects, by diasporic subjects, to access...

Where New Words Are Born: Distributional Semantic Analysis of Neologisms and Their Semantic Neighborhoods

Maria Ryskina, Ella Rabinovich, Taylor Berg-Kirkpatrick, David R. Mortensen & Yulia Tsvetkov

Decaying Words: The Metaphor of Evolution in Language Becomes Literal in a Canadian Forest

Joseph Wilson
In 2009, two Canadian poets Stephen Collis and Jordan Scott travelled to five different ecosystems within the borders of British Columbia (BC). At each location, they left a copy of the canonical text of physical anthropology, Darwin’s Origin of Species (1859), open to the elements, for one calendar year. The project, documented in the photographic book Decomp turned the poets’ usual mode of expression on its head: instead of manipulating words to create a final...

Older, Wiser, and Fiercer: Perspectives of Middle-Aged and Older Men Who Have Sex with Men on their Resilience to the Risk and Impacts of HIV/AIDS

Renato M. Liboro, Charles Fehr, George Da Silva, Lori E. Ross, Paul A. Shuper, Francisco Ibanez-Carrasco, Andrew D. Eaton & Daniel Pugh
Roughly forty years since the beginning of the HIV/AIDS epidemic, gay, bisexual, and other men who have sex with men (MSM) continue to be the population most at risk of, and most affected by, HIV/AIDS in Canada, the United States, and innumerable low to high income countries worldwide. Despite this, many MSM remain HIV-negative today, and among MSM living with HIV, many have not only survived the clinical and social impacts of HIV/AIDS, but have...

Clients’ and Coaches’ Perspectives of a Life Coaching Intervention for Parents with Overweight/Obesity

Shazya Karmali, Danielle S. Battram, Shauna M. Burke, Anita Cramp, Tara Mantler, Don Morrow, Victor Ng, Erin S. Pearson, Robert Petrella, Patricia Tucker & Jennifer D. Irwin

Time-Varying Crash Risk: The Role of Stock Market Liquidity

Peter Christoffersen, Bruno Feunou, Yoontae Jeon & Chayawat Ornthanalai
We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model. This finding suggests that the relationship between variance and jump risk found in the literature is largely...

Conception and Execution: Critical Knowledge and its Construction in Alternative and Autonomous Media

Robert Bertuzzi

Registration Year

  • 2021
    4
  • 2020
    4

Resource Types

  • Text
    8

Affiliations

  • University of Toronto
    8
  • Bank of Canada
    2
  • Carnegie Mellon University
    1
  • Toulouse School of Economics
    1
  • University of California, San Diego
    1
  • Lakehead University
    1
  • Western University
    1
  • Middlesex London Health Unit
    1
  • Centre for Addiction and Mental Health
    1
  • University of Nevada, Las Vegas
    1