Results 11 to 20 of about 19,599 (310)
Exchange rate volatility and the effectiveness of FX interventions: The case of Chile
Latin American Journal of Central Banking, 2023 In this paper, we study the effectiveness of FX interventions in Chile since adopting a fully flexible exchange rate regime in the late 1990s. In particular, we ask whether these interventions have dumped excess exchange rate volatility and reduced its ...
Alejandro Jara, Marco Piña
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Comparative study between local and global optimization for Heston model
Ratio Mathematica, 2022 The objective of this study is to estimate the calibration parameters of the Heston stochastic volatility model by the two optimization methods: local and global, then to compare their performances and finally to recommend one of the two methods.
Mohammed Bouasabah
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Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]
تحقیقات مالی, 2020 Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
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Locally Stationary Multiplicative Volatility Modeling
Journal of Business & Economic Statistics, 2022 In this paper, we study a semiparametric multiplicative volatility model, which splits up into a nonparametric part and a parametric GARCH component. The nonparametric part is modelled as a product of a deterministic time trend com- ponent and of further components that depend on stochastic regressors.
Christopher Walsh, Michael Vogt
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Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors
Asian Development Review, 2011 This paper examines volatility forecasting for the broad market indices of 12 Asian stock markets. After considering the long memory in volatility and volatility jumps, the paper incorporates local, regional, and global factors into a heterogeneous ...
Jianxin Wang
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Pricing the Volatility Risk Premium with a Discrete Stochastic Volatility Model
Mathematics, 2021 Investors’ decisions on capital markets depend on their anticipation and preferences about risk, and volatility is one of the most common measures of risk.
Petra Posedel Šimović, Azra Tafro
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Local Volatility of Volatility for the VIX Market [PDF]
SSRN Electronic Journal, 2011 ISSN:1380 ...
Drimus, Gabriel, Farkas, Walter
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Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models
Complexity, 2020 We consider nonparametric spot volatility estimation for diffusion models with discrete high frequency observations. Our estimator is carried out in two steps.
Jingwei Cai
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Individual Market Volatility and Vulnerability, 2015 to 2019
RSF: The Russell Sage Foundation Journal of the Social Sciences, 2020 The Affordable Care Act (ACA) introduced large changes to the individual market for health insurance. Using 2015–2019 HIX Compare and geographic-specific data, this study examines the volatility and vulnerability of local insurance markets using insurer ...
Jean Marie Abraham
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From local volatility to local Lévy models [PDF]
Quantitative Finance, 2004 We define the class of local Levy processes. These are Levy processes time changed by an inhomogeneous local speed function. The local speed function is a deterministic function of time and the level of the process itself. We show how to reverse engineer the local speed function from traded option prices of all strikes and maturities.
Yor, Marc +3 more
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