Search Results

Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility,
Moawia Alghalith, Christos Floros and Konstantinos Gkillas, in Risks (2020)
Keywords: nonparametric estimators; stochastic volatility; stochastic volatility of volatility

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects,
Leopoldo Catania and Tommaso Proietti, from Tor Vergata University, CEIS (2019)
Keywords: realized volatility, forecasting, leverage effect, volatility in volatility

The importance of the volatility risk premium for volatility forecasting,
Marcel Prokopczuk and Chardin Wese Simen, in Journal of Banking & Finance (2014)
Keywords: Volatility forecasting; Volatility risk premium; Implied volatility;

A simple joint model for returns, volatility and volatility of volatility,
Ding, Yashuang (Dexter), in Journal of Econometrics (2023)
Keywords: GARCH; SV; Forecasting; Nowcasting; Volatility of volatility;

Volatility Derivatives,
Peter Carr and Roger Lee, in Annual Review of Financial Economics (2009)
Keywords: variance swap, volatility swap, realized variance, realized volatility, implied volatility

Local volatility of volatility for the VIX market,
Gabriel Drimus and Walter Farkas, in Review of Derivatives Research (2013)
Keywords: VIX futures, VIX options, Volatility of volatility , Volatility derivatives, G12, G13,

VIX Dynamics with Stochastic Volatility of Volatility,
Andreas Kaeck and Carol Alexander, from Henley Business School, University of Reading (2010)
Keywords: VIX, Volatility Indices, Jumps, Stochastic volatility of-volatility

Think again: volatility asymmetry and volatility persistence,
Baur Dirk G. and Thomas Dimpfl, in Studies in Nonlinear Dynamics & Econometrics (2019)
Keywords: quantile regression, realized volatility, volatility asymmetry, volatility feedback, volatility persistence

Forecasting realized volatility: a review,
Andrea Bucci, from University Library of Munich, Germany (2017)
Keywords: Realized Volatility; Stochastic Volatility; Volatility Models

THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY,
R. Vilela Mendes, in International Journal of Theoretical and Applied Finance (IJTAF) (2023)
Keywords: Stochastic volatility, fractional noise, rough volatility

Significance of Volatility in Option Pricing,
Pochea Maria-Miruna and Filip Angela-Maria, in Ovidius University Annals, Economic Sciences Series (2013)
Keywords: volatility smile, volatility skew, volatility term structure, volatility surface.

Collusion and demand volatility,
Michèle Breton and Mohammed Kharbach, in Economics Bulletin (2015)
Keywords: Collusion, Volatility

Realized Volatility Risk,
David Allen, Michael McAleer and Marcel Scharth, from Tinbergen Institute (2013)
Keywords: Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting,

Stochastic Local Volatility,
Carol Alexander and Leonardo Nogueira, from Henley Business School, University of Reading (2008)
Keywords: Local volatility, stochastic volatility, unified theory of volatility, local volatility dynamics

Basic Analysis of Relative Volatility,
John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe and Stephen Wells, from Palgrave Macmillan (2015)
Keywords: Market Volatility, Relative Volatility, Volatility Measure, Credit Crisis, Volatility Estimate

Growth and Volatility,
Jean Imbs, from HAL (2007)
Keywords: Sectors,Growth,Volatility

Growth and Volatility,
Jean Imbs, from Swiss Finance Institute (2006)
Keywords: Sectors, Growth, Volatility

The imprecision of volatility indexes,
Rohini Grover and Ajay Shah, from Indira Gandhi Institute of Development Research, Mumbai, India (2014)
Keywords: Implied volatility, volatility index, imprecision

Absolving beta of volatility’s effects,
Jianan Liu, Robert Stambaugh and Yu Yuan, in Journal of Financial Economics (2018)
Keywords: Beta; Anomaly; Volatility;

Stochastic Volatility,
Torben Andersen and Luca Benzoni, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Stochastic Volatility, Realized Volatility, Implied Volatility, Options, Volatility Smirk, Volatility Smile, Dynamic Term Structure Models, Affine Models

Continuous-time VIX dynamics: On the role of stochastic volatility of volatility,
Andreas Kaeck and Carol Alexander, in International Review of Financial Analysis (2013)
Keywords: VIX; Volatility indices; Jumps; Stochastic volatility of volatility;

Conditional Heteroskedasticity in the Volatility of Asset Returns,
Yashuang (Dexter) Ding, from Faculty of Economics, University of Cambridge (2021)
Keywords: forecasting, GARCH, SHARV, volatility, volatility of volatility

Conditional Heteroskedasticity in the Volatility of Asset Returns,
Yashuang (Dexter) Ding, from Faculty of Economics, University of Cambridge (2021)
Keywords: forecasting, GARCH, SHARV, volatility, volatility of volatility

IMPLIED AND REALIZED VOLATILITY IN THE CROSS-SECTION OF EQUITY OPTIONS,
Manuel Ammann, David Skovmand and Michael Verhofen, in International Journal of Theoretical and Applied Finance (IJTAF) (2009)
Keywords: Implied volatility, realized volatility

Volatility spillover in Indonesia, USA, and Japan capital market,
Martin Surya Mulyadi, from University Library of Munich, Germany (2009)
Keywords: Volatility, Volatility Spillover, GARCH

Diverging Trends in Macro and Micro Volatility: Facts,
Diego Comin and Sunil Mulani, from University Library of Munich, Germany (2003)
Keywords: Macro Volatility and Micro Volatility

Variance Swaps Under Multiscale Stochastic Volatility of Volatility,
Min-Ku Lee, See-Woo Kim and Jeong-Hoon Kim, in Methodology and Computing in Applied Probability (2022)
Keywords: Variance swap, Stochastic volatility, Stochastic volatility of volatility, Asymptotic expansion

GARCH-based Volatility Forecasts for Market Volatility Indices,
Massimiliano Cecconi, Giampiero Gallo and Marco Lombardi, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2002)
Keywords: Volatility modelling; Volatility forecasting; GARCH models; VXN; Implied volatility.

Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility,
Yashuang (Dexter) Ding, from Faculty of Economics, University of Cambridge (2021)
Keywords: GARCH, diffusion limit, forecasting, volatility of volatility

Statistical analysis of the implied volatility derivative,
Paul Lynch and Nigel Allinson, from Society for Computational Economics (2002)
Keywords: Implied volatility

Is Volatility Priced?,
Yueh-Neng Lin and Ken Hung, in Annals of Economics and Finance (2008)
Keywords: Volatility risk premium, Stochastic volatility, Kalman filter, Quasimaximum likelihood

Chasing volatility,
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris, in Journal of Econometrics (2017)
Keywords: Multiplicative Error Model; Volatility jumps; Bipower variation; Volatility-at-risk;

Volatility-of-volatility and the cross-section of option returns,
Xinfeng Ruan, in Journal of Financial Markets (2020)
Keywords: Volatility-of-volatility; Option returns; Cross-section;

Volatility of aggregate volatility and hedge funds returns,
Vikas Agarwal, Yakup Arisoy and Narayan Y. Naik, from University of Cologne, Centre for Financial Research (CFR) (2015)
Keywords: uncertainty, volatility of volatility, hedge funds, performance

Volatility of Aggregate Volatility and Hedge Fund Returns,
Vikas Agarwal, Yakup Arisoy and Narayan Y. Naik, from HAL (2017)
Keywords: Uncertainty,volatility of volatility,hedge funds,performance

Volatility of aggregate volatility and hedge fund returns,
Vikas Agarwal, Yakup Arisoy and Narayan Y. Naik, in Journal of Financial Economics (2017)
Keywords: Uncertainty; Volatility of volatility; Hedge funds; Performance; Risk;

Volatility and volatility-linked derivatives: estimation, modeling, and pricing,
Elisa Alòs, Maria Elvira Mancino and Tai-Ho Wang, in Decisions in Economics and Finance (2019)
Keywords: Volatility, Estimation, Modeling, Volatility derivatives, Pricing

Application of Volatility-Managed Portfolios in the Context of a Volatility Index,
Abhishek Subramanian and Parthajit Kayal, from Madras School of Economics,Chennai,India (2023)
Keywords: Volatility-managed portfolios, Volatility-management, Momentum

Moment-based estimation of stochastic volatility,
Daniele Bregantini, in Journal of Banking & Finance (2013)
Keywords: Stochastic volatility; Realised volatility; Jumps;

Survey of volatility and spillovers on financial markets,
Evžen Kočenda, from Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies) (2017)
Keywords: volatility; volatility spillovers; financial markets

Survey of Volatility and Spillovers on Financial Markets,
Evžen Kočenda, in Prague Economic Papers (2018)
Keywords: volatility, volatility spillovers, financial markets

Volatility and welfare,
Robert Lester, Michael Pries and Eric Sims, in Journal of Economic Dynamics and Control (2014)
Keywords: Volatility; Welfare cost of business cycles;

Asset volatility,
Maria Correia, Johnny Kang and Scott Richardson, from London School of Economics and Political Science, LSE Library (2018)
Keywords: credit spreads; volatility; bankruptcy; default

Asset volatility,
Maria Correia, Johnny Kang and Scott Richardson, in Review of Accounting Studies (2018)
Keywords: credit spreads, volatility, bankruptcy, default

Stochastic Volatility,
Carl Chiarella, Xuezhong (Tony) He and Christina Sklibosios Nikitopoulos, from Springer (2015)
Keywords: Asset Price, Option Price, Stochastic Volatility, Implied Volatility, Stochastic Volatility Model

Volatility Smiles,
Carl Chiarella, Xuezhong (Tony) He and Christina Sklibosios Nikitopoulos, from Springer (2015)
Keywords: Option Price, Stochastic Volatility, Implied Volatility, Strike Price, Stochastic Volatility Model

Stochastic volatility of volatility in continuous time,
Ole Barndorff-Nielsen and Almut Veraart, from Department of Economics and Business Economics, Aarhus University (2009)
Keywords: Stochastic volatility, volatility of volatility, non-Gaussian Ornstein–Uhlenbeck process, superposition, leverage effect, Lévy processes.

VOLATILITY REGIMES FOR THE VIX INDEX,
Jacinto Marabel Romo, in Revista de Economia Aplicada (2012)
Keywords: VIX index, Markov chain, realized volatility, implied volatility, volatility regimes

The signal and the noise volatilities,
Selma Chaker, in Research in International Business and Finance (2019)
Keywords: Realized volatility; Volatility forecasting; Heteroscedastic noise; Eigenfunction stochastic volatility models;

A multifactor volatility Heston model,
José Da Fonseca, Martino Grasselli and Claudio Tebaldi, in Quantitative Finance (2008)
Keywords: Stochastic volatility, Financial derivatives, Volatility modelling, Options pricing, Options volatility,

Structurally-Induced Volatility Clustering,
Mark Machina and Clive Granger, from Department of Economics, UC San Diego (2002)
Keywords: volatility clustering, induced volatility clustering, stochastic volatility, ARCH

Forecasting volatility with time-varying leverage and volatility of volatility effects,
Leopoldo Catania and Tommaso Proietti, in International Journal of Forecasting (2020)
Keywords: Realized volatility; Leverage effect; Volatility of volatility; Score driven models; Volatility prediction;

Towards Decoding Currency Volatilities,
D. Johannes Juttner and Wayne Leung, in Multinational Finance Journal (2009)
Keywords: Exchange rate volatilities; volatility relationships; GARCH modelling

Volatility spillover in seafood markets,
Roy Endré Dahl and Erlendur Jonsson, in Journal of Commodity Markets (2018)
Keywords: Seafood markets; Fish; Price volatility; Volatility spillover;

On the determinants of food price volatility,
Kuhanathan Ano Sujithan, Sanvi Avouyi-Dovi and Lyes Koliai, from HAL (2014)
Keywords: Food price volatility,BVAR model,volatility spillovers

Wavelet Estimation of Integrated Volatility,
Asger Lunde and Esben Hoeg, from Society for Computational Economics (2003)
Keywords: Financial Econometrics; Stochastic Volatility; Integrated Volatility; Estimation

Aid Volatility, Policy and Development,
John Hudson and Paul Mosley, in World Development (2008)
Keywords: aid volatility disasters trust upside and downside volatility

Management forecasts of volatility,
Atif Ellahie and Xiaoxia Peng, in Review of Accounting Studies (2021)
Keywords: Volatility forecasting, Expected volatility, Disclosure, Management forecasts

The Bias of Realized Volatility,
Janis Becker and Christian Leschinski, from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2018)
Keywords: Return Volatility; Realized Volatility; Squared Returns

Towards Decoding Currency Volatilities,
Johannes Juttner and Wayne Leung, from Macquarie University, Department of Economics (2004)
Keywords: Exchange rate volatilities, volatility relationships, GARCH modelling

Futures hedging with stochastic volatility: a new method,
Moawia Alghalith and Christos Floros, in International Journal of Computational Economics and Econometrics (2020)
Keywords: stochastic volatility; volatility of volatility; futures; hedging.

IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY,
Roger W. Lee, in International Journal of Theoretical and Applied Finance (IJTAF) (2001)
Keywords: Stochastic volatility, local volatility, implied volatility, volatility risk premium, skew, smile

How Does the Volatility of Volatility Depend on Volatility?,
Sigurd Emil Rømer and Rolf Poulsen, in Risks (2020)
Keywords: stochastic volatility; elasticity of variance of variance; Heston; SABR

HISTORICAL VOLATILITY DISTRIBUTION IN GAUSSIAN AND GARCH(1,1) MODELS,
Lutz Molgedey, in International Journal of Theoretical and Applied Finance (IJTAF) (2000)
Keywords: Volatility distributions

Revealing the arcane: an introduction to the art of stochastic volatility models,
Alexander Tsyplakov, from University Library of Munich, Germany (2010)
Keywords: stochastic volatility

U.S. BUSINESS CYCLE VOLATILITY AND BANKING PRODUCTIVITY,
Andrés Arias, from Universidad de los Andes, Facultad de Economía, CEDE (2003)
Keywords: Cyclical volatility

Volatility and covariation of financial assets: a high-frequency analysis,
Álvaro Cartea and Dimitrios Karyampas, from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2009)
Keywords: Volatility estimation

The Social Cost of Carbon under Climate Volatility Risk,
Xu Lin and Sweder van Wijnbergen, from C.E.P.R. Discussion Papers (2023)
Keywords: stochastic volatility

Data cloning estimation for asymmetric stochastic volatility models,
Patrícia de Zea Bermudez, from Universidad Carlos III de Madrid. Departamento de Estadística (2019)
Keywords: Asymmetric Volatility

Option data and modeling BSM implied volatility,
Matthias Fengler, from Department of Economics, University of St. Gallen (2010)
Keywords: Implied volatility

Volatility Models: from GARCH to Multi-Horizon Cascades,
Alexander Subbotin, Thierry Chauveau and Kateryna Shapovalova, from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009)
Keywords: Volatility modeling; GARCH; stochastic volatility; volatility cascade; multiple horizons in volatility

A Life-Cycle Model with Individual Volatility Dynamics,
Marios Karabarbounis, in Economic Quarterly (2020)
Keywords: Volatility; Economics

RATS program to demonstrate estimation of a stochastic volatility model,
Tom Doan, from Boston College Department of Economics
Keywords: Stochastic volatility

Price Volatility Under Alternative Monetary Instruments,
Alfonso Novales, from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (1993)
Keywords: Price Volatility.

Sovereign default risk and volatility,
Christian Daude, in Economics Letters (2012)
Keywords: Volatility; Default; Sovereign debt;

SPECTRAL METHODS FOR VOLATILITY DERIVATIVES,
Claudio Albanese and Aleksandar Mijatovic, from University Library of Munich, Germany (2006)
Keywords: Volatility derivatives; operator methods

Price Volatility and Headline Inflation,
Aaron Amburgey and Michael McCracken, from Federal Reserve Bank of St. Louis (2021)
Keywords: headline inflation; price volatility

Modelling Exchange Rate Volatility,
Jati K. Sengupta, from Department of Economics, UC Santa Barbara (2002)
Keywords: exchange rate, volatility

A Better Measure of Relative Volatility,
John Pippenger, from Department of Economics, UC Santa Barbara (2002)
Keywords: Measure of Relative Volatility

Spectral methods for volatility derivatives,
Claudio Albanese, Harry Lo and Aleksandar Mijatovic, in Quantitative Finance (2009)
Keywords: Volatility modelling, Volatility smile fitting, Volatility surfaces, Stochastic volatility Quantitative finance,

Asymmetric Realized Volatility Risk,
David Allen, Michael McAleer and Marcel Scharth, in JRFM (2014)
Keywords: realized volatility; volatility of volatility; volatility risk; value-at-risk; forecasting; conditional heteroskedasticity

Realized Volatility Risk,
David Allen, Michael McAleer and Marcel Scharth, from University of Canterbury, Department of Economics and Finance (2010)
Keywords: Realized volatility; volatility of volatility; volatility risk; value-at-risk; forecasting; conditional heteroskedasticity

Asymmetric Realized Volatility Risk,
David Allen, Michael McAleer and Marcel Scharth, from University of Canterbury, Department of Economics and Finance (2014)
Keywords: Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting, conditional heteroskedasticity

Fiscal policy and inflation volatility,
Peter Backé, from European Central Bank (2004)
Keywords: fiscal policy, inflation volatility

Contrasting Trends in Firm Volatility,
David Thesmar and Mathias Thoenig, from HAL (2011)
Keywords: trend,firm volatility

Business Cycle Volatility in Germany,
Claudia Buch, Joerg Doepke and Christian Pierdzioch, from Kiel Institute for the World Economy (IfW Kiel) (2002)
Keywords: Business Cycle, Volatility, Germany

Special-Interest Groups and Volatility,
Bonnie Wilson, Dennis Coates and Jac Heckelman, from Saint Louis University, Department of Economics (2007)
Keywords: special interest groups, volatility

Trade Openness and Output Volatility,
Maria Bejan, from University Library of Munich, Germany (2006)
Keywords: Trade; Openness; Volatility

Robustness and exchange rate volatility,
Edouard Djeutem and Kenneth Kasa, in Journal of International Economics (2013)
Keywords: Volatility; Robustness; Exchange rates;

REALIZED VOLATILITY RISK,
David Allen, Michael McAleer and Marcel Scharth, from Kyoto University, Institute of Economic Research (2010)
Keywords: Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting, conditional heteroskedasticity.