Search Results - subject:"Realized Volatility."

Ielpo, Florian; Sévi, Benoît - Institut de Préparation à l'Administration et à la … - 2014

Forecasting the density of returns is useful for many purposes in finance, such as risk manage- ment activities, portfolio choice or derivative security pricing. Existing methods to forecast the den- sity of returns either use prices of the asset of interest or option prices on this same asset....

Persistent link: https://www.econbiz.de/10010930520

Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps

Sévi, Benoît - Institut de Préparation à l'Administration et à la … - 2014

then show that these jumps, in conjunction with realized volatility measures, are important in modeling the convenience …

Persistent link: https://www.econbiz.de/10010930522

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 80-109

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

Persistent link: https://www.econbiz.de/10011843245

The VIX, the variance premium and stock market volatility

Bekaert, Geert; Hoerova, Marie - 2014

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...

Persistent link: https://www.econbiz.de/10011605720

Option Valuation with Observable Volatility and Jump Dynamics

Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae - School of Economics and Management, University of Aarhus - 2014

Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...

Persistent link: https://www.econbiz.de/10011145698

Uncertainty and Economic Activity: A Global Perspective

Rebucci, Alessandro; Cesa-Bianchi, Ambrogio; Pesaran, … - Inter-American Development Bank - 2014

The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics. This paper studies the interrelation between financial markets volatility and economic activity assuming that both...

Persistent link: https://www.econbiz.de/10010943821

Uncertainty and Economic Activity: A Global Perspective

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - CESifo - 2014

The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics based on the premise that uncertainty causes economic activity to slow down and contract. In this paper, we study the...

Persistent link: https://www.econbiz.de/10010757723

A simple model for now-casting volatility series

Hafner, Christian M.; Breitung, Jörg - Center for Operations Research and Econometrics (CORE), … - 2014

Nowcasting volatility of financial time series appears difficult with classical volatility models. This paper proposes a simple model, based on an ARMA representation of the log-transformed squared returns, that allows to estimate current volatility, given past and current returns, in a very...

Persistent link: https://www.econbiz.de/10011246321

Does historical VIX term structure contain valuable information for predicting VIX futures?

Jablecki, Juliusz; Slepaczuk, Robert; Kokoszczynski, Ryszard - In: Dynamic Econometric Models 14 (2014), pp. 5-28

We suggest that the term structure of VIX futures shows a clear pattern of dependence on the current level of VIX index. At the low levels of VIX (below 20), the term structure is highly upward sloping, while at the high VIX levels (over 30) it is strongly downward sloping. We use these features...

Persistent link: https://www.econbiz.de/10011272573

Asymmetric Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014

Persistent link: https://www.econbiz.de/10011272575