Search Results - subject:"Realized Volatility." - EconBiz

Co-movement of volatility risk premium : evidence from single stock options market in India

Chakrabarti, Prasenjit - In: Applied economics letters 28 (2021) 14, pp. 1181-1186

Persistent link: https://www.econbiz.de/10012589986

Forecasting and backtesting of market risks in emerging markets

Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021

Emerging markets often go through periods of financial turbulence and the estimation of market risk measures may be problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step-by-step analysis with R and Russian market data...

Persistent link: https://www.econbiz.de/10012591721

Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

Rokicka, Anna; Kudła, Janusz - In: Journal of risk 23 (2021) 4, pp. 51-79

Persistent link: https://www.econbiz.de/10012593441

Forecasting realized volatility of Bitcoin : the role of the trade war

Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Computational economics 57 (2021) 1, pp. 29-53

Persistent link: https://www.econbiz.de/10012486864

Pricing volatility-equity options under the modified constant elasticity of variance model

Wang, Xingchun - In: Finance research letters 38 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012490200

COVID-19 and the United States financial markets' volatility

Albulescu, Claudiu Tiberiu - In: Finance research letters 38 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012490640

Jumps and oil futures volatility forecasting : a new insight

Ma, Feng; Liang, Chao; Zeng, Qing; Li, Haibo - In: Quantitative finance 21 (2021) 5, pp. 853-863

Persistent link: https://www.econbiz.de/10012500197

Out-of-sample realized volatility forecasting : does the support vector regression compete combination methods

Zhang, Gaoxun; Qiao, Gaoxiu - In: Applied economics 53 (2021) 19, pp. 2192-2205

Persistent link: https://www.econbiz.de/10012501131

Implied volatility indices : a review

Fassas, Athanasios P.; Siriopoulos, Costas - In: The quarterly review of economics and finance : journal … 79 (2021), pp. 303-329

Persistent link: https://www.econbiz.de/10012655056

Uncertainty related to infectious diseases and forecastability of the realized volatility of US treasury securities

Shiba, Sisa; Gupta, Rangan - In: Annals of financial economics 16 (2021) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10012656882

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