Results 271 to 280 of about 10,453 (290)

A note on investor happiness and the predictability of realized volatility of gold

Finance Research Letters, 2021
Matteo Bonato, Konstantinos Gkillas, Rangan Gupta   +2 more
exaly  

Realizing Smiles: Pricing Options with Realized Volatility

2009
We develop a stochastic volatility option pricing model that exploits the informative content of historical high frequency data. Using the Two Scales Realized Volatility as a proxy for the unobservable returns volatility, we propose a simple (affine) but effective long-memory process: the Heterogeneous Auto-Regressive Gamma (HARG) model.
Fulvio CORSI, Nicola FUSARI, Davide LA VECCHIA   +2 more
openaire   +1 more source

Realized Volatility 

2022
openaire   +1 more source

Forecasting realized gold volatility: Is there a role of geopolitical risks?

Finance Research Letters, 2020
Konstantinos Gkillas, Rangan Gupta, Christian Pierdzioch   +2 more
exaly  

Forecasting realized volatility of agricultural commodities

International Journal of Forecasting, 2022
Stavros Degiannakis, George Filis, Tony Klein   +2 more
exaly  

Realized Volatility

2009
Torben G. Andersen, Timo Teräsvirta
openaire   +1 more source

Pricing VIX options with realized volatility

Journal of Futures Markets, 2021
Chen Tong, Zhuo Huang
exaly  

The Distribution of Realized Exchange Rate Volatility

Journal of the American Statistical Association, 2001
Torben G Andersen, Tim Bollerslev
exaly  

Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Journal of the Royal Statistical Society Series B: Statistical Methodology, 2002
Ole E Barndorff-Nielsen, Neil Shephard
exaly  

Realized Bitcoin Volatility

SSRN Electronic Journal, 2017
Dirk G. Baur, Thomas Dimpfl
openaire   +1 more source