Results 11 to 20 of about 37,989 (306)
Reconstructing volatility: Pricing of index options under rough volatility
Mathematical Finance, 2023 AbstractAvellaneda et al. (2002, 2003) pioneered the pricing and hedging of index options – products highly sensitive to implied volatility and correlation assumptions – with large deviations methods, assuming local volatility dynamics for all components of the index.
Peter K. Friz, Thomas Wagenhofer
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Policy uncertainty, geopolitical risks and China’s carbon neutralization
Carbon Management, 2023 In the present study, it was explored how the volatility of the carbon neutrality concept index (CNCI) was affected by China economic policy uncertainty (CEPU) index, climate policy uncertainty (CPU) index, and geopolitical risk (GPR) index. According to
Liping Liu, Zheng Lü
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VCRIX — A volatility index for crypto-currencies [PDF]
International Review of Financial Analysis, 2019 Public interest, explosive returns, and diversification opportunities gave stimulus to the adoption of traditional financial tools to crypto-currencies. While the CRIX offered the first scientifically-backed proxy to the crypto-market (analogous to S&P 500), measuring the forward-oriented risk in the crypto-currency market posed a challenge of a ...
Alisa Kim +2 more
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Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal
Discrete Dynamics in Nature and Society, 2022 The asymmetry of volatility is an important feature of asset price changes, and studying the asymmetry of cojumps on volatility prediction can provide a reference for systemic risk monitoring.
Liling Deng +2 more
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Causality between stock market and “fear gauge” indices: An empirical analysis with E-statistics
Applied Finance Letters, 2018 This study investigates empirically the validity of three hypotheses that have been advanced to explain the tendency of stock market and volatility indices to move in opposite directions, using the notion of Brownian distance correlation.
Panos Fousekis, Vasilis Grigoriadis
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The Independence of Indexed Volatilities
, 2021 Studies on indexed volatility spillovers are unique because indices encompass more information than other parameters used in illustrating volatility movements. Further, indices encompass most of the constituents listed on different stock exchanges around the globe.
Katlego Kola, Tumellano Sebehela
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The effects of epidemics on capital markets volatility: A case study of Borsa Istanbul [PDF]
CES Working Papers, 2021 This study examines the effects of epidemics like H1N1, MERS and EBOLA on the volatility of capital markets through the case of Borsa Istanbul. The data set covers the period from 1/2/2009 – 8/11/2020 and consists of daily frequency observations.
Fatih GÜZEL, Melek ACAR
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VOLATİLİTE ENDEKSLERİ: GELİŞİMİ, TÜRLERİ, UYGULAMALARI VE TRVIX ÖNERİSİ
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2019 İlk defa Chicago Opsiyon Borsası tarafından 1993 yılında oluşturulan volatilite endeksi (VIX) piyasalardaki korkunun derecesini ölçen bir endeks olup, finansal piyasaların gelecekteki belirsizlikleri hakkında bilgi sağlaması nedeniyle dünya genelinde ...
Eyüp Kadıoğlu +2 more
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International Journal of Financial Studies, 2022 The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements,
Inzamam UI Haq +6 more
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Stochastic and Dynamic Interaction between Islamic Volatility Index and Volatility Indices [PDF]
Türkiye İslam İktisadı DergisiIntegration in financial markets offers opportunities for free flow of information and capital for international investments. However, this also poses challenges for maintaining effective international portfolio diversification due to heightened market ...
Halilibrahim Gökgöz +2 more
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