Results 181 to 190 of about 42,730 (215)
SSRN Electronic Journal, 2008 Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled squared return realizations over a fixed time interval. In a frictionless market, the estimate achieves consistency for the underlying quadratic return variation when returns are sampled at ...
Torben G. Andersen, Luca Benzoni
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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
Mathematical Finance, 2010Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order.
J. Gatheral +4 more
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Stochastic Volatility III: Volatility Models and Volatility Surfaces
SSRN Electronic Journal, 2010We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive relationships between the different concepts. The relationships are of an exact analytical type if this is possible, else we use expansions to obtain approximate expressions. We close with a discussion of the mixing theorem.
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Volatility of volatility is (also) rough
Journal of Futures Markets, 2019AbstractUsing high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets.
José Da Fonseca, Wenjun Zhang
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Volatile Voters and a Volatile Party System: The Results
2019The outcome of the Italian General Election of 2018 was largely unexpected. None of the competitors secured majorities of seats in both chambers, but, most importantly, populist parties such as the Five-star Movement and the League increased their shares of the vote to a much greater extent than predicted by most polls, while the mainstream parties ...
Alessandro Chiaramonte, Aldo Paparo
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A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility
SSRN Electronic Journal, 2004In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
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SSRN Electronic Journal, 2006
Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories ...
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Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories ...
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Volatility Processes and Volatility Forecast with Long Memory
SSRN Electronic Journal, 2002We introduce a new family of processes that include the long memory (power law) in the volatility correlation. This is achieved by measuring the historical volatility on a set of increasing time horizons and by computing the resulting effective volatility by a sum with power law weights. In the limit where only one component is included, the models are
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The signal of volatility [PDF]
, 2012 The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that feeds into other markets depending on the prevailing ...
Till Strohsal, Enzo Weber
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