Results 281 to 290 of about 113,493 (310)

A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

SSRN Electronic Journal, 2004
In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
openaire   +1 more source

COVID-19 and the United States financial markets’ volatility

Finance Research Letters, 2021
Claudiu Albulescu
exaly  

Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe

Finance Research Letters, 2020
Adam Zaremba, Renatas Kizys, David Y Aharon   +2 more
exaly  

Cryptocurrency Volatility Forecasting Using Commonality in Intraday Volatility

SSRN Electronic Journal, 2023
Emmanuel Djanga, Mihai Cucuringu, Chao Zhang   +2 more
openaire   +1 more source

Better to give than to receive: Predictive directional measurement of volatility spillovers

International Journal of Forecasting, 2012
Kamil Yilmaz
exaly  

The Cross-Section of Volatility and Expected Returns

Journal of Finance, 2006
Andrew Ang, Robert J Hodrick, Yuhang Xing   +2 more
exaly  

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Economic Journal, 2009
Kamil Yilmaz
exaly  

Modeling and Forecasting Realized Volatility

Econometrica, 2003
Torben G Andersen, Tim Bollerslev
exaly  

Forecasting Volatility I

2016
openaire   +1 more source

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Journal of Finance, 2015
Robert F Stambaugh, Jianfeng Yu, Yu Yuan
exaly