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,

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

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

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

Chapter 8 Growth Volatility and the Structure of the Economy,
Davide Fiaschi and Andrea Lavezzi, from Emerald Group Publishing Limited (2011)
Keywords: Growth volatility

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

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.

Preferences analysis, transactions, and volatility,
Jaroslav Zajac, in Journal of Risk Finance (2005)
Keywords: Volatility, Financial information

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