Volatility and returns of the New Third Board market in China
Journal of Finance and Data Science, 2016 In this paper, we analyze the return–volatility relation for the New Third Board market in China. Various properties for cross sectional (daily and weekly) returns and volatility are obtained and interpreted.
Weiping Li, Gaoxiu Qiao
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Historical Perspectives in Volatility Forecasting Methods with Machine Learning
RisksVolatility forecasting for financial institutions plays a pivotal role across a wide range of domains, such as risk management, option pricing, and market making.
Zhiang Qiu +3 more
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The effect of asset price volatility on fiscal policy outcomes [PDF]
This paper examines the effect of asset price volatility on fiscal policy stance. We find that asset price volatility affects the volatility of discretionary fiscal policy in a positive and significant manner, which according to Fatas and Mihov (2003 ...
Athanasios Tagkalakis
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Mitigating Left-tail Risk in Volatility Scaling: Introducing a Volatility Floor Correction
SAGE OpenThis paper studies volatility scaling, a dynamic portfolio management method that maintains portfolio volatility at a target level over time. Analysis of U.S.
Qi Cui, Tianhong Zhao, Tingyue Cui
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Volatility connectedness of GCC stock markets: how global oil price volatility drives volatility spillover in GCC stock markets? [PDF]
Environ Sci Pollut Res Int, 2023 Hussain M, Rehman RU.
europepmc +1 more source
Forecasting volatility: does continuous time do better than discrete time? [PDF]
In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model.
Carles Bretó, Helena Veiga
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Changes in the Distribution of Income Volatility [PDF]
, 2008 Recent research has documented a significant rise in the volatility (e.g., expected squared change) of individual incomes in the U.S. since the 1970s.
Jensen, Shane T., Shore, Stephen H.
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The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps [PDF]
We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.
Bent Jesper Christensen +2 more
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Does implied volatility reflect a wider information set than econometric forecasts? [PDF]
Much research has addressed the relative performance of option implied volatilities and econometric model based forecasts in terms of forecasting asset return volatility.
Adam Clements +2 more
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