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Dynamic volatility management: from conditional volatility to realized volatility
Journal of Investment Strategies, 2019The volatility of concern in conventional volatility-managed strategies such as volatility-targeting strategy and mean-variance optimization is the expected conditional volatility. However for investors, it is the realized volatility that is important, because there is only one realization in the market.
Zhang, Rongju +3 more
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Conditional Jumps in Volatility and Their Economic Determinants [PDF]
, 2011 The volatility of financial returns is affected by rapid and large increments. Such movements can be hardly generated by a pure diffusive process for stochastic volatility. On the contrary jumps in volatility are important because they allow for rapid increases, like those observed during stock market crashes.
Massimiliano Caporin +2 more
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Conditional Volatility Properties of Sleep-Disordered Breathing
Computers in Biology and Medicine, 2006The present paper investigates the conditional volatility properties of apneic electrocardiogram (ECG) sequences taken from the Physionet apnea database using a set of GARCH models. We discuss the theoretical justification of this approach in the light of the recent developments in heart rate volatility studies.
Michael Y Hu
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Asymmetric Conditional Volatility in International Stock Markets [PDF]
Physica A: Statistical Mechanics and Its Applications, 2007 11 pages, 3 ...
Nuno Ferreira +2 more
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Local Volatility, Conditioned Diffusions, and Varadhan's Formula
SIAM Journal on Financial Mathematics, 2018We study classes of stochastic volatility models and derive asymptotic formulae for the associated local volatility surface. This gives new insight into the geometry of a reasonable local volatility surface, especially in extreme moneyness regimes. Specifically, we show that in the Stein--Stein model the squared local volatility grows linearly in the ...
Stefano De Marco, Peter K. Friz
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Conditional volatility persistence and volatility spillovers in the foreign exchange market
Research in International Business and Finance, 2021Abstract I investigate the magnitudes and determinants of volatility spillovers in the foreign exchange (FX) market, using realized measures of volatility and heterogeneous autoregressive (HAR) models. I confirm both meteor shower effects (i.e., inter-regional volatility spillovers) and heat wave effects (i.e., intra-regional volatility spillovers ...
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Nonlinear Dynamics in Conditional Volatility
2020Investors pay a substantial premium to hedge against fluctuations in volatility—the variance risk premium (VRP). The asset-pricing literature has presented numerous models with jumps in economic fundamentals to reproduce the properties and the time variation of the VRP.
Friedrich Lorenz +2 more
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MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS [PDF]
International Journal of Theoretical and Applied Finance, 2005 This paper investigates whether the risk-return relation varies, depending on changing market volatility and up/down market conditions. Three market regimes based on the level of conditional volatility of market returns are specified — "low", "neutral" and "high".
Galagedera, Don U. A., Faff, Robert
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