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Resources policy, 2023
In times of financial crisis as well as during the COVID-19 era, gold and crude oil are the two commodities that have the most influence on global stock markets and the real economy.
Fang Liu, Muhammad Umair, Junjun Gao
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In times of financial crisis as well as during the COVID-19 era, gold and crude oil are the two commodities that have the most influence on global stock markets and the real economy.
Fang Liu, Muhammad Umair, Junjun Gao
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Testing the Fluctuations of Oil Resource Price Volatility: A Hurdle for Economic Recovery
Social Science Research Network, 2022The influence of oil price volatility on significant international macroeconomic indicators is examined empirically. The vector auto-regression (VAR) system is used to examine the influence of oil price volatility. According to the Granger causality test,
Xie Xiuzhen +2 more
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Problems of Information Transmission, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
L. Goldentayer +2 more
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
L. Goldentayer +2 more
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Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
SSRN Electronic Journal, 2018Abstract Predicting volatility is of primary importance for business applications in risk management, asset allocation, and the pricing of derivative instruments. This paper proposes a measurement model that considers the possibly time-varying interaction of realized volatility and asset returns according to a bivariate model to capture its major ...
Catania, L, Proietti, T
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Nonvolatile, semivolatile, or volatile: Redefining volatile for volatile organic compounds
Journal of the Air & Waste Management Association, 2014Although widely used in air quality regulatory frameworks, the term "volatile organic compound" (VOC) is poorly defined. Numerous standardized tests are currently used in regulations to determine VOC content (and thus volatility), but in many cases the tests do not agree with each other, nor do they always accurately represent actual evaporation rates ...
Uyên-Uyén T, Võ, Michael P, Morris
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Expert systems with applications, 2018
Volatility plays crucial roles in financial markets, such as in derivative pricing, portfolio risk management, and hedging strategies. Therefore, accurate prediction of volatility is critical.
Ha Young Kim, C. H. Won
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Volatility plays crucial roles in financial markets, such as in derivative pricing, portfolio risk management, and hedging strategies. Therefore, accurate prediction of volatility is critical.
Ha Young Kim, C. H. Won
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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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Analyzing time-varying volatility spillovers between the crude oil markets using a new method
, 2020The spillover effect is an important factor affecting the volatility of crude oil price. Basing on the study of Diebold and Yilmaz (2009, 2012, 2014), we propose a new method that calculates the time-varying volatility spillover indexes by the ...
Tangyong Liu, Xu Gong
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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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