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From volatility smiles to the volatility of volatility [PDF]
Decisions in Economics and Finance, 2019 The paper reviews models of the option surface and reduced-form models for stochastic volatility in continuous time, under the risk-neutral measure. It defines “forward volatilities,” analogous to forward interest rates in the theory of the term structure, and provides a proof that the forward volatility is a conditional expected value, under the risk ...
Bernard Dumas +3 more
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An Empirical Study of Volatility in Cryptocurrency Market
Journal of Risk and Financial Management, 2022 Cryptocurrencies have gained a lot of attraction across the globe. Most observers of the cryptocurrency market will agree that crypto volatility is in a different league altogether.
Hemendra Gupta, R. Chaudhary
semanticscholar +1 more source
SSRN Electronic Journal, 2014 Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale.
Gatheral, Jim +2 more
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Journal of Function Spaces, 2021 It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou +3 more
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Volatility and Development [PDF]
The Quarterly Journal of Economics, 2007 Why is GDP growth so much more volatile in poor countries than in rich ones? We identify three possible reasons: (i) poor countries specialize in fewer and more volatile sectors; (ii) poor countries experience more frequent and more severe aggregate shocks (e.g., from macroeconomic policy); and (iii) poor countries' macroeconomic fluctuations are more ...
Miklós Koren +2 more
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Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]
Public and Municipal Finance, 2016 Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
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RICE PRICE VOLATILITY IN EAST JAVA [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2017 The purpose of the research is analyzing the volatility and volatility spillover of monthly price of paddy at the level of farmers and consumers in 2010-2016.
Wati R.Y.E., Anindita R., Setiawan B.
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Journal of futures markets, 2021 We examine the role of implied volatility, leverage effect, overnight returns and volatility of realized volatility in forecasting realized volatility by extending the heterogeneous autoregressive (HAR) model to include these additional variables.
Dimos S. Kambouroudis +2 more
semanticscholar +1 more source
ESTIMASI VOLATILITAS STOKASTIK CRYPTOCURRENCY BITCOIN MENGGUNAKAN MODEL HESTON-MILSTEIN
E-Jurnal Matematika, 2022 Volatility is a quantity that measures how far a stock or cryptocurrency price moves in a certain period. To measure volatility properly, it can be done by using volatility modeling.
NI PUTU WIDYA ISWARI DEWI +2 more
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The Review of Economic Studies, 2017 We document that in the US over the course of the past century there has been a systematic negative relation between household wealth and business cycle volatility. We develop a microfounded dynamic equilibrium model that contains elements of a traditional Keynesian framework in which economic uctuations can be driven by sunspot-type uctuations in ...
Heathcote, Jonathan, Perri, Fabrizio
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