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Range Volatility Models and Their Applications in Finance

2010
There has been a rapid growth of range volatility due to the demand of empirical finance. This paper contains a review of the important development of range volatility, including various range estimators and range-based volatility models. In addition, other alternative models developed recently, such as range-based multivariate volatility models and ...
Ray Yeutien Chou
exaly   +2 more sources

Asymptotic expansion for some local volatility models arising in finance

Decisions in Economics and Finance, 2019
Luca Di Persio, Francesco Cordoni, Sérgio Albeverio   +2 more
exaly  

Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961–2004

Journal of Money, Credit and Banking, 2008
exaly  

The Volatility of Realized Volatility

Econometric Reviews, 2008
Stefan Mittnik, Fulvio Corsi
exaly  

The Interplay Between Green Finance, Policy Uncertainty and Carbon Market Volatility: A Time Frequency Approach

Sustainability
Ahmar Uddin, Bisharat Hussain Chang, Salem Hamad Aldawsari   +2 more
exaly  

Volatility and return connectedness across decentralized finance assets, precious and industrial metals, green energy and technology markets

Mineral Economics
Remy Jonkam Oben
exaly  

The First World Congress of the Bachelier Finance Society; Special Issue on Garch and Stochastic Volatility Models in Finance

Asia-Pacific Financial Markets, 1999
exaly  

Does supply chain finance development alleviate cash flow volatility in entrepreneurially oriented firms?

Finance Research Letters
exaly  

Introduction: Volatility in finance, art, and culture

Finance and Society, 2023
The term ‘volatility’ applies to changeability: both that which can be measured, such as temperatures and stock prices, and that which cannot be easily measured, such as affects and emotions.
Emily Rosamond
exaly   +5 more sources

The Mathematics of Finance: Pricing Volatility derivatives [PDF]

ITM Web of Conferences
In the increasingly complex world of financial markets, the scope of mathematical finance has expanded beyond traditional stock trading to include derivatives on various financial indices.
Phetpradap Parkpoom, Sripanitan Natkamon
doaj   +2 more sources