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Enhancing Prediction by Incorporating Entropy Loss in Volatility Forecasting. [PDF]
Entropy (Basel)Urniezius R +9 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, Christos Tsoukalas
exaly +4 more sources
Conditional Jumps in Volatility and Their Economic Determinants [PDF]
SSRN Electronic Journal, 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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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.
Rongju Zhang +3 more
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Nonlinear Dynamics in Conditional Volatility
SSRN Electronic Journal, 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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Conditional Volatility Persistence
SSRN Electronic Journal, 2017This study provides evidence on the common determinants for two prominent features of equity market volatility: its persistence over time and its asymmetric dependence on past returns. We show that daily volatility persistence increases with current returns, especially negative returns. It decreases with current volatility.
Jian-Xin Wang, Minxian Yang
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Local Volatility, Conditioned Diffusions, and Varadhan's Formula
SIAM Journal on Financial Mathematics, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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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