Results 11 to 20 of about 816,870 (348)
COVID-19 and stock market volatility: An industry level analysis
Finance Research Letters, 2020 Highlights • This paper analyzes the effects of COVID-19 on the U.S. stock market volatility at the industry level.• The market switching AR model is used to identify regime change from lower volatility to higher volatility.• Petroleum and natural gas ...
Seungho Baek +2 more
exaly +2 more sources
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
core +4 more sources
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
+9 more sources
Econometric analysis of realized volatility and its use in estimating stochastic volatility models
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2002 Ole E Barndorff-Nielsen, Neil Shephard
exaly +2 more sources
Firm-specific, macroeconomic factors and stock price risk for Jordanian banks [PDF]
Banks and Bank Systems, 2021 Internal (firm-specific) and external (macroeconomic) determinants of stock price fluctuations are vital for investors seeking to invest their money in a firm’s stocks.
Wasfi Al Salamat +2 more
doaj +1 more source
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
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
openaire +2 more sources
Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility [PDF]
, 2021 We forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility.
Dimos S. Kambouroudis +5 more
core +1 more source
Energies, 2023 In this paper, we propose dynamic, short-term, financial risk management strategies for small electricity producers and buyers that trade in the wholesale electricity markets.
Joanna Janczura, Andrzej Puć
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 +5 more sources