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On the volatility of volatility [PDF]
SSRN Electronic Journal, 2006 The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility
Black +3 more
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The volatility of realized volatility [PDF]
Econometric Reviews, 2005 Using unobservable conditional variance as measure, latent-variable approaches, such as GARCH and stochastic-volatility models, have traditionally been dominating the empirical finance literature.
Corsi, Fulvio +3 more
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SSRN Electronic Journal, 2005 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 ...
Andersen, Torben G. +3 more
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An analysis between implied and realised volatility in the Greek Derivatives Market [PDF]
, 2009 In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with
Chance, D. +4 more
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Extremal behavior of stochastic volatility models [PDF]
, 2005 Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels.
Fasen, V. +2 more
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The Impact of Output and Exchange Rate Volatility on Fixed Private Investment: Evidence from Selected G7 Countries [PDF]
, 2015 This study examines the impact of shocks to exchange rate and output uncertainty (volatility) on real private fixed investment (FI) in Canada, Germany, the United Kingdom and the United States. The analysis is conducted using vector autoregressive models
Chowdhury, Abdur, Wheeler, Mark
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On the pricing and hedging of volatility derivatives [PDF]
, 2003 We consider the pricing of a range of volatility derivatives, including volatility and variance swaps and swaptions. Under risk-neutral valuation we provide closed-form formulae for volatility-average and variance swaps for a variety of diffusion and ...
Howison, Sam +2 more
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The structural transformation between manufacturing and services and the deline in the U.S. GDP volatility [PDF]
, 2009 For a single firm with a given volatility of total factor productivity at the gross output level (GTFP), the volatility of total factor productivity at the value added level (YTFP) increases with the share of intermediate goods in gross output.
Moro, Alessio
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Maximum likelihood approach for several stochastic volatility models
, 2012 Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable.
Camprodon, Jordi, Perelló, Josep
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Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan [PDF]
, 2006 Our paper examines the volatility spillover between the stock market and the foreign exchange market in Pakistan. For long run relationship we use Engle Granger two step procedure and the volatility spillover is modelled through bivariate EGARCH method ...
Kemal, A. R., Qayyum, Abdul
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