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Volatility‐of‐volatility risk in the crude oil market
Journal of Futures Markets, 2020AbstractThis paper examines the role of oil volatility‐of‐volatility (VOV) risk under a stochastic VOV framework. We show that oil VOV is a significant pricing factor in the cross‐sectional delta‐hedged gains constructed from oil options, and oil VOV also has predictive power for near‐term delta‐hedged option gains.
Tai‐Yong Roh +3 more
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The Multifactor Nature of the Volatility of Futures Markets
Computational Economics, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chiarella, C., To, Thuy Duong
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The North American Journal of Economics and Finance, 2020
Abstract The purpose of this paper is to investigate the role of regime switching in the prediction of the Chinese stock market volatility with international market volatilities. Our work is based on the heterogeneous autoregressive (HAR) model and we further extend this simple benchmark model by incorporating an individual volatility measure from 27
Yaojie Zhang, Likun Lei, Yu Wei
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Abstract The purpose of this paper is to investigate the role of regime switching in the prediction of the Chinese stock market volatility with international market volatilities. Our work is based on the heterogeneous autoregressive (HAR) model and we further extend this simple benchmark model by incorporating an individual volatility measure from 27
Yaojie Zhang, Likun Lei, Yu Wei
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The Increasing Volatility of the Stock Market?
The Journal of Wealth Management, 2016This study provides a rigorous examination of historical stock price volatility. We measure changes in the variability of equity returns on a daily and monthly basis and test whether volatility has changed over the period 1926 through 2014. Our results are of importance to practitioners, individual investors, policy makers, and the press and address ...
Kenneth M. Washer +2 more
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Volatility-of-Volatility Risk in the Crude Oil Market
SSRN Electronic Journal, 2019Under the stochastic volatility-of-volatility framework, we show that oil volatility-of-volatility risk is a significant pricing factor for cross-sectional delta-hedged gains constructed from 1-month United States Oil Fund (USO) options, and is negatively priced.
Yahua Xu, Tai-Yong Roh
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The Price of Market Volatility Risk
SSRN Electronic Journal, 2007We analyze the volatility risk premium by applying a modified two-pass Fama-MacBeth procedure to the returns of a large cross section of the returns of options on individual equities. Our results provide strong evidence of a volatility risk premium that is increasing in the level of overall market volatility. This risk premium provides compensation for
Jefferson Duarte, Christopher S. Jones
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The Volatility of Stock Market Prices
Science, 1987If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are ...
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The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities
The Journal of Derivatives, 2017Option prices in the market embed a probability distribution over the option’s payoff, which can be fairly easily extracted. But in this risk-neutral distribution, the market’s true expectations about future returns are distorted by risk preferences, in particular, aversion to volatility risk.
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Volatility: The Market Price of Uncertainty
CFA Institute Conference Proceedings Quarterly, 2014Today’s securities markets are pricing in yesterday’s crash, the known unknown, rather than tomorrow’s unknown unknown. To understand volatility as an asset class is to value the forward expectation of uncertainty, which is as much a function of human psychology as it is an expression of mathematics.
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The recent behaviour of financial market volatility [PDF]
, 2006 This BIS Paper studies the behaviour of financial market volatility since 1970, with special emphasis on the evolution in recent years. Financial market volatility plays an important role in corporate investment decisions and in the willingness and ability of banks to extend credit. This Report emphasises that the reduction in volatility seen in recent
Panetta, Fabio +4 more
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