Results 161 to 170 of about 590,055 (198)

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

SSRN Electronic Journal, 2018
Abstract Predicting volatility is of primary importance for business applications in risk management, asset allocation, and the pricing of derivative instruments. This paper proposes a measurement model that considers the possibly time-varying interaction of realized volatility and asset returns according to a bivariate model to capture its major ...
Catania, L, Proietti, T
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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

Mathematical Finance, 2010
Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order.
J. Gatheral, E. Hsu, LAURENCE, Peter Michael, Cheng Ouyang, T.H. Wang   +4 more
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Variance Swaps Under Multiscale Stochastic Volatility of Volatility

Methodology and Computing in Applied Probability, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Min-Ku Lee, See-Woo Kim, Jeong-Hoon Kim
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Volatility of volatility is (also) rough

Journal of Futures Markets, 2019
AbstractUsing high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets.
José Da Fonseca, Wenjun Zhang
openaire   +1 more source

Stochastic Volatility of Volatility and Variance Risk Premia

SSRN Electronic Journal, 2011
This article introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility (SVV): Volatility modulated non-Gaussian Ornstein--Uhlenbeck (VMOU) processes. Various probabilistic properties of (integrated) VMOU processes are presented.
Barndorff-nielsen, O.E., Veraart, A.E.D.
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THE ROLE OF IMPLIED VOLATILITY IN VOLATILITY COMBINING FORECASTS

International Journal of Economics and Business Research, 2023
This study explores the role of implied volatility (IV) in volatility combining forecasts for S&P 500 and DAX markets. A range of GARCH models, ad hoc models and STES models were developed to identify the best performing model that served as a base model for subsequent combining process, of which GJRGARCH model appeared to be the superior model among ...
Ho, Jen Sim, Choo, Wei Chong, Boon, Shui Hooi, Wan, Cheong Kin, Zhang, Yuruixian   +4 more
openaire   +1 more source

Board Structure and the Volatility of Volatility

SSRN Electronic Journal, 2020
Using the NYSE/NASDAQ listing rule changes to establish causality, we are the first to empirically show that board structure can significantly reduce the volatility of volatility of stock returns, which can be a consequence of erratic decision-making. The effect is moderated by firm characteristics such as size and fundamental risk.
Alexander Merz, Sebastian Trabert
openaire   +1 more source

The economic value of volatility timing using “realized” volatility

Journal of Financial Economics, 2001
Abstract Recent work suggests that intradaily returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. We measure the economic value of this “realized” volatility approach in the context of investment decisions.
Jeff Fleming, Chris Kirby, Barbara Ostdiek   +2 more
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The Role of Volatility Regimes on Volatility Transmission Patterns

SSRN Electronic Journal, 2011
This paper investigates volatility transmission patterns between the US and Eurozone stock markets differentiating between low and high volatility periods which tend to be related with international crisis. Our approach let us distinguish the spillover intensities between markets in calm and crisis periods and also tests for a potential increase of ...
Nikos Nomikos, Enrique Salvador
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Trade fragmentation and volatility-of-volatility networks

Journal of International Financial Markets, Institutions and Money
International ...
Bastidon, Cécile, Jawadi, Fredj
openaire   +3 more sources