Results 171 to 180 of about 590,055 (198)

Volatility of Prices and Volatility of Dividends

1998
The theoretical model which we present in this chapter is an attempt to develop a framework of analysis sufficiently general to study the volatility of stock prices when markets are efficient but with no a priori specification on the distribution of the relevant stochastic processes. To this aim, we shift the attention from dividends to earnings and we
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Pricing Cryptocurrency Options With Volatility of Volatility

Journal of Futures Markets
ABSTRACTWe propose a novel option pricing model that explicitly incorporates volatility‐of‐volatility (VOV) dynamics and its associated risk premium. Our framework integrates realized variance and realized quarticity to capture latent VOV dynamics, addressing key challenges in cryptocurrency option pricing.
Lingshan Du, Ji Shen
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VIX Dynamics with Stochastic Volatility of Volatility [PDF]

, 2010
This paper examines the ability of several different continuous-time one and two-factor jump-diffusion models to capture the dynamics of the VIX volatility index for the period between 1990 and 2010. For the one-factor models we study affine and non-affine specifications, possibly augmented with jumps.
Andreas Kaeck, Carol Alexander
openaire  

The asymmetric relationship between volatility index and volatility-of-volatility index

Investment Analysts Journal, 2022
Adian McFarlane, Anupam Das, Young Cheol Jung   +2 more
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The signal of volatility [PDF]

, 2012
The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that feeds into other markets depending on the prevailing ...
Till Strohsal, Enzo Weber
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Neural Network–Based Financial Volatility Forecasting: A Systematic Review

ACM Computing Surveys, 2023
Wenbo Ge
exaly  

Assessing oil price volatility co-movement with stock market volatility through quantile regression approach

Resources Policy, 2023
Muhammad Umair
exaly  

Tail Risks and Volatility-of-Volatility

SSRN Electronic Journal, 2018
Thomas Grrnthaler, Hendrik HHlsbusch
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Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching

Resources Policy, 2023
Muhammad Umair, Yessengali Oskenbayev
exaly  

Rational Roots of Volatile Excess Volatility

SSRN Electronic Journal, 2020
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