Results 281 to 290 of about 230,659 (313)

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
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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
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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

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
openaire   +1 more source

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
openaire   +1 more source