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Volatility of Volatility and Leverage Effect from Options
SSRN Electronic Journal, 2023 We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time, we integrate available options into estimates of the conditional characteristic function of the price increment until the options' expiration and we use these estimates to ...
Chong, Carsten Hao Ye, Todorov, Viktor
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The Impact of Covid-19 on Emerging Stock Market Volatility: Empirical Evidence from Borsa Istanbul
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2020 The study aims to examine the impact of COVID-19 on the Turkish stock market volatility and reveal how different industries are affected by COVID-19. Volatility between pre-COVID and COVID periods are compared across industries to understand the impact ...
İbrahim Yağlı
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Volatility Co-Movement in Stock Markets
Mathematics, 2021 The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of ...
María Nieves López-García +4 more
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High-frequency volatility of volatility estimation free from spot volatility estimates
Quantitative Finance, 2014 We define a new consistent estimator of the integrated volatility of volatility based only on a pre-estimation of the Fourier coefficients of the volatility process. We investigate the finite sample properties of the estimator in the presence of noise contaminations by computing the bias of the estimator due to noise and showing that it vanishes as the
MANCINO, MARIA ELVIRA +2 more
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Stochastic Volatility of Volatility in Continuous Time
SSRN Electronic Journal, 2009 This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data.
Barndorff-Nielsen, Ole, Veraart, Almut
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Stochastic and Dynamic Interaction between Islamic Volatility Index and Volatility Indices [PDF]
Türkiye İslam İktisadı DergisiIntegration in financial markets offers opportunities for free flow of information and capital for international investments. However, this also poses challenges for maintaining effective international portfolio diversification due to heightened market ...
Halilibrahim Gökgöz +2 more
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Frontiers in Public Health, 2022 The outbreak of the COVID-19 epidemic intensified the volatility of commodity markets (the energy and precious metals markets), which created a significant negative impact on the volatility spillovers among these markets. It may also have triggered a new
Xiaoyu Tan +5 more
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KAJIAN MODEL HIDDEN MARKOV UNTUK MENDUGA VOLATILITAS INDEKS HARGA SAHAM
Prima: Jurnal Pendidikan Matematika, 2019 Abstrak Volatility is a measure of uncertainty. Volatility can either be measured by using the standard deviation or variance between returns. The problem is volatility is unobservable, and estimating volatility is not a trivial task.
Abdul Baist
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Pricing options with dual volatility input to modular neural networks
Borsa Istanbul Review, 2020 Tested is the choice of the volatility input to the artificial neural networks in the process of pricing options. Numerous studies concluded the weaknesses of Black-Scholes model use as a pricing tool in the market.
Sadi Fadda
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"Investor attention fluctuation and stock market volatility: Evidence from China".
PLoS ONE, 2023 This paper examines the linkage between Chinese stock market volatility and investor attention fluctuation. In Heterogeneous autoregressive (HAR) model, first, we analyzed the linkage between both decomposed and undecomposed stock market realized ...
Taiji Yang, Siqi Zhuo, Yongsheng Yang
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