Results 41 to 50 of about 590,055 (198)
A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2014 We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Nistor, Victor +2 more
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Economies, 2023 Central bank characteristics are important determinants of stock market returns and their volatility. While the literature has examined the effects of transparency and independence, no research has been conducted so far on the effect of central bank ...
Ioannis Dokas +3 more
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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.
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Estimating volatility-of-volatility: A comparative analysis
Economics LetterszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jianglei Yuan +3 more
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Journal of Economic and Financial Sciences, 2019 Orientation: Modelling of international tourist arrivals’ volatility is vital for marketing, planning, policy formulation and investment purposes among others.
Delson Chikobvu, Tendai Makoni
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The Asymmetric Effect of Trade Openness on Output Volatility: Empirical Evidence from Ethiopia
JDE (Journal of Developing Economies), 2023 A better understanding of the effect openness on volatility can lead to more effective government policy that addresses the adverse outcomes of volatility.
Adisu Abebaw Degu +3 more
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The Reactive Volatility Model [PDF]
, 2013 We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations.
Aboura, Sofiane +3 more
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A simple joint model for returns, volatility and volatility of volatility
Journal of Econometrics, 2023 We propose a model that allows for conditional heteroskedasticity in the volatility of asset returns and incorporates current return information into the volatility nowcast and forecast. Our model can capture all stylised facts of asset returns even with Gaussian innovations and is simple to implement.
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Equity Risk: Measuring Return Volatility Using Historical High-Frequency Data
Studies in Business and Economics, 2019 Market Volatility has been investigated at great lengths, but the measure of historical volatility, referred to as the relative volatility, is inconsistent.
Alan Chow, Kyre Lahtinen
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Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
, 2015 In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on increments of spot ...
Vetter, Mathias
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