Results 211 to 220 of about 3,336 (266)
Machine Learning Driven Analysis Yields Insight into the Processing Robustness of Organic Photovoltaics. [PDF]
ACS Macro LettWong S +3 more
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Quantifying the Linguistic Complexity of Pan-Homophonic Events in Stock Market Volatility Dynamics. [PDF]
Entropy (Basel)Zhang Y, Tian J, Zou Y, Zhang X, Cai X.
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Response to Letter to the Editor Regarding "A bibliometric analysis of investigative genetic genealogy in academic literature: Trends, networks, and emerging themes". [PDF]
Forensic Sci Int SynergPellegrino A, Stasi A.
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A Cross-Modal Temporal Alignment Framework for Artificial Intelligence-Driven Sensing in Multilingual Risk Monitoring. [PDF]
Sensors (Basel)Sun H +6 more
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Does Implied Volatility Imply Volatility—in Bonds?
The Journal of Fixed Income, 2001The authors investigate the relationship between the implied volatility derived from option contracts on U.S. Treasury bond futures and the actual volatility observed in these securities. Research has suggested that implied volatility in stock options correctly forecasts realized volatility in stock prices; the authors find the same is true in bonds ...
Eric Bertonazzi, M.T. Maloney
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SSRN Electronic Journal, 2015
The pricing of corporate credit can be succinctly understood via the credit-implied volatility (CIV) surface. We invert it each month from the firm-by-maturity panel of CDS spreads via the Merton model, transforming CDS spreads into units of asset volatility. The CIV surface facilitates direct comparison of credit spreads at different "moneyness" (firm
Bryan Kelly +2 more
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The pricing of corporate credit can be succinctly understood via the credit-implied volatility (CIV) surface. We invert it each month from the firm-by-maturity panel of CDS spreads via the Merton model, transforming CDS spreads into units of asset volatility. The CIV surface facilitates direct comparison of credit spreads at different "moneyness" (firm
Bryan Kelly +2 more
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AN EXPLICIT IMPLIED VOLATILITY FORMULA
International Journal of Theoretical and Applied Finance, 2017We show that an explicit approximate implied volatility formula can be obtained from a Black–Scholes formula approximation that is 2% accurate. The relative error of the approximate implied volatility is uniformly bounded for options with any moneyness and with arbitrary large or small option maturities and volatilities, including for long dated ...
Stefanica, Dan, Radoičić, Radoš
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Management Science
We propose a methodology for estimating option-implied, forward-looking variances and covariances of assets and portfolios, which may not possess actively traded options. Our approach relies on the observation that, if asset returns follow a factor structure, then the variances and covariances of the factors span the systematic variances and ...
Ohad Kadan, Fang Liu, Xiaoxiao Tang
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We propose a methodology for estimating option-implied, forward-looking variances and covariances of assets and portfolios, which may not possess actively traded options. Our approach relies on the observation that, if asset returns follow a factor structure, then the variances and covariances of the factors span the systematic variances and ...
Ohad Kadan, Fang Liu, Xiaoxiao Tang
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THE ROLE OF IMPLIED VOLATILITY IN VOLATILITY COMBINING FORECASTS
International Journal of Economics and Business Research, 2023This study explores the role of implied volatility (IV) in volatility combining forecasts for S&P 500 and DAX markets. A range of GARCH models, ad hoc models and STES models were developed to identify the best performing model that served as a base model for subsequent combining process, of which GJRGARCH model appeared to be the superior model among ...
Ho, Jen Sim +4 more
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