Results 41 to 50 of about 816,870 (348)
Good Volatility, Bad Volatility and Option Pricing [PDF]
SSRN Electronic Journal, 2016 Advances in variance analysis permit the splitting of the total quadratic variation of a jump-diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the
Feunou, Bruno, Okou, Cédric
openaire +2 more sources
THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY
International Journal of Theoretical and Applied Finance, 2023 The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and, using the Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.
openaire +2 more sources
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 ...
Tim Bollerslev +3 more
core +4 more sources
İstanbul İktisat Dergisi, 2023 This study aims to model the volatility features of Bitcoin, Ethereum, and Ripple, which are the cryptocurrencies with the greatest volumes that have come to the agenda since the global crisis, and to determine the presence and dates of price bubbles ...
Utku Altunöz
doaj +1 more source
Volatility of Aggregate Volatility and Hedge Fund Returns [PDF]
SSRN Electronic Journal, 2014 This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the VIX index.
Agarwal, V, Arisoy, Y E, Naik, N
openaire +5 more sources
Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets
, 2023 This paper investigates whether range estimators contain important information in forecasting future realized volatility. We use widely applied range-based estimators: Parkinson, Garman-Klass, Roger-Satchell, and Yang-Zhang within a HAR-RV-X framework ...
McMillan, David G +5 more
core +1 more source
Financial stability — Unfinished business
Latin American Journal of Central BankingGlobal financial stability is critical for sustainable economic growth. The post-global financial crisis reform program strengthened the banking system, and, despite several shocks, the global economy and financial system appear relatively resilient. But
Richard Berner
doaj +1 more source
Stochastic Volatility of Volatility in Continuous Time
SSRN Electronic Journal, 2009 This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data.
Barndorff-Nielsen, Ole, Veraart, Almut
openaire +2 more sources
Uncertainty in perception and the Hierarchical Gaussian Filter
Frontiers in Human Neuroscience, 2014 In its full sense, perception rests on an agent’s model of how its sensory input comes about and the inferences it draws based on this model. These inferences are necessarily uncertain.
Christoph Daniel Mathys +15 more
doaj +1 more source
A simple joint model for returns, volatility and volatility of volatility
Journal of Econometrics, 2023 We propose a model that allows for conditional heteroskedasticity in the volatility of asset returns and incorporates current return information into the volatility nowcast and forecast. Our model can capture all stylised facts of asset returns even with Gaussian innovations and is simple to implement.
openaire +2 more sources