Results 11 to 20 of about 1,041,681 (327)
Volatility-of-Volatility Risk [PDF]
Journal of Financial and Quantitative Analysis, 2018 We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself.
Darien Huang +3 more
semanticscholar +6 more sources
How Does the Volatility of Volatility Depend on Volatility? [PDF]
Risks, 2020 We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance ...
Sigurd Emil Rømer, Rolf Poulsen
doaj +6 more sources
Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility [PDF]
Risks, 2020 We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time.
Moawia Alghalith +2 more
doaj +4 more sources
CFA Institute Magazine, 2013 “In the long run, we may all be dead, as Keynes suggested, but we need to make sure that the short run doesn’t kill us first,” says Andrew Lo.
JayeNathan
semanticscholar +4 more sources
Volatility of Volatility of Financial Markets [PDF]
Mathematical and Computer Modelling, 1999 We present empirical evidence for considering volatility of Eurodollar futures as a stochastic process, requiring a generalization of the standard Black-Scholes (BS) model which treats volatility as a constant.
L. Ingber, Jennifer K. Wilson
semanticscholar +3 more sources
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility [PDF]
Review of Economics and Statistics, 2013 Abstract Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105 individual stocks, this paper sheds new light on the predictability of equity price volatility.We showthat future volatility is more strongly related to the volatility of past negative returns than ...
Andrew J. Patton, Kevin Sheppard
semanticscholar +4 more sources
SSRN Electronic Journal, 2008 Given the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real- time estimates and forecasts of current and future volatility have been extensive.
Luca Benzoni, Torben G. Andersen
core +3 more sources
Hurst Exponent Analysis: Evidence from Volatility Indices and the Volatility of Volatility Indices
Journal of Risk and Financial Management, 2023 In this study, we analyze the volatility of volatility indices and estimate the Hurst parameter using data from five international markets. For our analysis, we consider daily data from VIX (CBOE), VXN (CBOE Nasdaq 100), VXD (DJIA), VHSI (HSI), and ...
Georgia Zournatzidou, Christos Floros
semanticscholar +1 more source
Methods in econophysics: Estimating the probability density and volatility
Frontiers in Physics, 2022 We discuss and analyze some recent literature that introduced pioneering methods in econophysics. In doing so, we review recent methods of estimating the volatility, volatility of volatility, and probability densities.
Moawia Alghalith
doaj +1 more source
Analysis of meat price volatility and volatility spillovers in Finland
Agricultural Economics (AGRICECON), 2020 Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products.
Marwa Ben Abdallah +2 more
doaj +1 more source