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Volatility of volatility is (also) rough
Journal of Futures Markets, 2019Using 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 ...
J. D. da Fonseca, Wenjun Zhang
semanticscholar +3 more sources
Board Structure and the Volatility of Volatility
SSRN Electronic Journal, 2020Using 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 ...
Alexander Merz, Sebastian Trabert
semanticscholar +3 more sources
The Cross-Section of Volatility and Expected Returns
Journal of Finance, 2006 We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic
Andrew Ang, Xiaoyan Zhang
exaly +2 more sources
Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?
Journal of Financial Economics, 2020We investigate whether transaction costs, arbitrage risk, and short-sale constraints explain the abnormal returns of volatility-managed equity portfolios.
Pedro Barroso, Andrew Detzel
semanticscholar +1 more source
SSRN Electronic Journal, 2006 Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories ...
Jean Imbs, Jean Imbs, Jean Imbs
openaire +3 more sources
Volatility-of-Volatility and the Cross-Section of Option Returns
Journal of financial markets, 2017This paper presents a robust new finding of a significant negative relation between equity option returns and the volatility-of-volatility (VOV).
Xinfeng Ruan
semanticscholar +1 more source
Testing the Fluctuations of Oil Resource Price Volatility: A Hurdle for Economic Recovery
Social Science Research Network, 2022The influence of oil price volatility on significant international macroeconomic indicators is examined empirically. The vector auto-regression (VAR) system is used to examine the influence of oil price volatility. According to the Granger causality test,
Xie Xiuzhen +2 more
semanticscholar +1 more source
, 1993
I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spot-asset returns. I introduce stochastic interest rates
S. Heston
semanticscholar +1 more source
I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spot-asset returns. I introduce stochastic interest rates
S. Heston
semanticscholar +1 more source
Stock market volatility: a systematic review
Journal of Modelling in Management, 2023Purpose The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by ...
Barkha Dhingra +4 more
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ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS*
, 1998A voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models.
T. Andersen, Tim Bollerslev
semanticscholar +1 more source