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How Does the Volatility of Volatility Depend on Volatility? [PDF]
Risks, 2020 We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance ...
Sigurd Emil Rømer, Rolf Poulsen
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On the volatility of volatility [PDF]
SSRN Electronic Journal, 2006 The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility
Black +3 more
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Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility [PDF]
Risks, 2020 We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time.
Moawia Alghalith +2 more
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Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
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Conceptual Approaches to the Development of a Cash Flow Classifier
Вестник Российского экономического университета имени Г. В. Плеханова, 2023 Cash flows are a convenient source of operational information for analyzing the state of the economy. Obtaining this information will ensure the use of operational regulatory tools to achieve the goals of economic security. The purpose of the study is to
V. V. Maslennikov, A. V. Larionov
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Analysis of meat price volatility and volatility spillovers in Finland
Agricultural Economics (AGRICECON), 2020 Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products.
Marwa Ben Abdallah +2 more
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Focusing on the Exchange Rate Volatility and International Trade Relationship: Evidence from South Africa [PDF]
Management and Economics Review, 2023 Despite the extensive literature on the exchange rates volatility and international trade, there is no consensus in the literature. This study examines how South African exports demand is affected by exchange rate volatility. The sample period covers the
Ntokozo HADEBE, Simiso MSOMI
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El Salvador: an analysis of the monetary integration law and the bitcoin law [PDF]
Brazilian Journal of Political Economy, 2023 The objective of this article is to analyze the two most important monetary laws that have been implemented in El Salvador, namely the Monetary Integration Law (MIL) and the Bitcoin Law.
SERGIO LUIS NÁÑEZ ALONSO +3 more
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Quantitative Finance and Economics, 2022 Models of crisis prediction continue to gain traction with the increased frequency of global crisis such as the ongoing COVID-19 pandemic. Moreover, the connectedness of financial markets appears to be of central importance in determining how shocks ...
Lorna Katusiime
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An analysis between implied and realised volatility in the Greek Derivatives Market [PDF]
, 2009 In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with
Chance, D. +4 more
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