Results 1 to 10 of about 607,096 (294)
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
doaj +5 more sources
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
core +3 more sources
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
doaj +3 more sources
Realized Volatility Risk [PDF]
SSRN Electronic Journal, 2009 In this paper we document that realized variation measures constructed from high- frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
core +13 more sources
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
doaj +1 more source
Volatility-of-Volatility Risk [PDF]
Journal of Financial and Quantitative Analysis, 2018 We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility indices, identified model-free as the VIX and VVIX, respectively, are only weakly related to each other.
Darien Huang +3 more
openaire +3 more sources
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
doaj +1 more source
The Volatility of Realized Volatility [PDF]
Econometric Reviews, 2008 In recent years, with the availability of high-frequency financial market data modeling realized volatility has become a new and innovative research direction. The construction of “observable” or realized volatility series from intra-day transaction data and the use of standard time-series techniques has lead to promising strategies for modeling and ...
CORSI, Fulvio +3 more
openaire +7 more sources
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
doaj +1 more source
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
doaj +1 more source