Search Results - subject:"Stochastic volatility of-volatility"

Estimating stochastic volatility under the assumption of stochastic volatility of volatility

Alghalith, Moawia; Floros, Christos; Gillas, … - In: Risks 8 (2020) 2, pp. 1-16

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...

Persistent link: https://www.econbiz.de/10013200570

Estimating stochastic volatility under the assumption of stochastic volatility of volatility

Alghalith, Moawia; Floros, Christos; Gillas, … - In: Risks : open access journal 8 (2020) 2/35, pp. 1-16

Persistent link: https://www.econbiz.de/10012204468

Bias-optimal vol-of-vol estimation : the role of window overlapping

Toscano, Giacomo; Recchioni, Maria Cristina - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 137-185

Persistent link: https://www.econbiz.de/10013380539

VIX derivatives, hedging and vol-of-vol risk

Kaeck, Andreas; Seeger, Norman - In: European journal of operational research : EJOR 283 (2020) 2, pp. 767-782

Persistent link: https://www.econbiz.de/10012294919

Variance-of-variance risk premium

Kaeck, Andreas - In: Review of finance : journal of the European Finance … 22 (2018) 4, pp. 1549-1579

Persistent link: https://www.econbiz.de/10012005754

VIX Dynamics with Stochastic Volatility of Volatility

Kaeck, Andreas; Alexander, Carol - Henley Business School, University of Reading - 2010

surprisingly little to the ability of the models to explain the dynamic of the VIX. We present a stochastic volatility of … volatility model that can explain all the time-series characteristics of the VIX studied in this paper. Extensions demonstrate …

Persistent link: https://www.econbiz.de/10010838038

Continuous-time VIX dynamics: On the role of stochastic volatility of volatility

Kaeck, Andreas; Alexander, Carol - In: International Review of Financial Analysis 28 (2013) C, pp. 46-56

Persistent link: https://www.econbiz.de/10010666203