Search Results - subject:"Volatility estimation"

Estimating risk in illiquid markets : a model of market friction with stochastic volatility

Buccheri, Giuseppe; Grassi, Stefano; Vocalelli, Giorgio - In: Journal of financial econometrics 22 (2024) 2, pp. 531-574

Persistent link: https://www.econbiz.de/10014526336

Forward-looking volatility estimation for risk-managed investment strategies during the COVID-19 crisis

Di Persio, Luca; Garbelli, Matteo; Wallbaum, Kai - In: Risks 9 (2021) 2, pp. 1-16

exploiting a Machine Learning (ML) solution. Our solution provides a more accurate volatility estimation, allowing us to derive …

Persistent link: https://www.econbiz.de/10013200702

Forward-looking volatility estimation for risk-managed investment strategies during the COVID-19 crisis

Di Persio, Luca; Garbelli, Matteo; Wallbaum, Kai - In: Risks : open access journal 9 (2021) 2/33, pp. 1-16

exploiting a Machine Learning (ML) solution. Our solution provides a more accurate volatility estimation, allowing us to derive …

Persistent link: https://www.econbiz.de/10012426981

Implied volatility estimation of bitcoin options and the stylized facts of option pricing

Zulfiqar, Noshaba; Gulzar, Saqib - In: Financial innovation : FIN 7 (2021), pp. 1-30

The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging. The need for these tools dates back to the market crash of 1987, when investors needed better ways to protect their portfolios...

Persistent link: https://www.econbiz.de/10012617423

Bias reduction in spot volatility estimation from options

Todorov, Viktor; Zhang, Yang - In: Journal of econometrics 234 (2023) 1, pp. 53-81

Persistent link: https://www.econbiz.de/10014364661

Overnight GARCH-Itô volatility models

Kim, Donggyu; Shin, Minseok; Wang, Yazhen - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1215-1227

Persistent link: https://www.econbiz.de/10014448607

Volatility estimation and forecasts based on price durations

Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144

Persistent link: https://www.econbiz.de/10013542852

Volatility measurement with pockets of extreme return persistence

Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27

Persistent link: https://www.econbiz.de/10014471793

What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models

Murphy, David - In: The journal of risk model validation 17 (2023) 2, pp. 59-81

Persistent link: https://www.econbiz.de/10014485769

A study of Bitcoin-based intraday volatility forecasting for cross-market spreads

Yang, Longguang; Hou, Fengshuang; Shi, Huihong - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 14, pp. 3941-3951

Persistent link: https://www.econbiz.de/10014419375