Results 11 to 20 of about 231,323 (314)
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
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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 of the SPX, and is observed to be correlated with the 30-day realized volatility of the SPX ...
Stephen D. H. Hsu, Brian M. Murray
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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
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SSRN Electronic Journal, 2005 Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications ...
Andersen, Torben G. +3 more
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SSRN Electronic Journal, 2013 We examine whether fundamental measures of volatility are incremental to market based measures of volatility in (i) predicting bankruptcies (out of sample), (ii) explaining cross-sectional variation in credit spreads, and (iii) explaining future credit excess returns.
Correia, Maria +2 more
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Optimal Setting for Hurst Index Estimation and Its Application in Chinese Stock Market
IEEE Access, 2021 The Hurst index is widely used to describe the long memory process of time series in economics, finance, and other fields. The setting for Hurst index estimation has not been thoroughly investigated by current literature.
Liang Ding +3 more
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Mathematical Biosciences and Engineering, 2021 In view of the important position of crude oil in the national economy and its contribution to various economic sectors, crude oil price and volatility prediction have become an increasingly hot issue that is concerned by practitioners and researchers ...
Hongli Niu, Yazhi Zhao
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Modeling the Optimal Portfolio: the Case of the Largest European Stock Exchanges
Comparative Economic Research, 2020 Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor’s risk tolerance.
Florin Aliu +3 more
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Model Free Inference on Multivariate Time Series with Conditional Correlations
Stats, 2020 New results on volatility modeling and forecasting are presented based on the NoVaS transformation approach. Our main contribution is that we extend the NoVaS methodology to modeling and forecasting conditional correlation, thus allowing NoVaS to work in
Dimitrios Thomakos +2 more
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Volatility Forecasting for Low-Volatility Investing
SSRN Electronic Journal, 2022 Low-volatility investing often involves sorting and selecting stocks based on retrospective risk measures, for example, the historical standard deviation of returns. In this paper, we use the volatility forecasts from a wide spectrum of volatility models to sort and select stocks and estimate portfolio weights.
Christian Conrad +2 more
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