Search Results - subject:"Volatility of volatility"

Realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

Persistent link: https://www.econbiz.de/10009784942

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

Asymptotics for the Fourier estimators of the volatility of volatility and the leverage

Curato, Imma Valentina - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2012

In this paper, we construct non parametric estimators of the volatility of volatility and the leverage component … coefficients of the volatility of volatility and the leverage processes can be computed. The estimators of the integrated …

Persistent link: https://www.econbiz.de/10010816295

Efficient and feasible inference for the components of financial variation using blocked multipower variation

Shephard, Neil; Sheppard, Kevin - Department of Economics, Oxford University - 2012

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the … first nonparametric high frequency estimator of the volatility of volatility. A fundamental device in the paper is a new …

Persistent link: https://www.econbiz.de/10009650770

Efficient and feasible inference for the components of financial variation using blocked multipower variation

Mykland, Per A.; Shephard, Neil; Sheppard, Kevin - Economics Group, Nuffield College, University of Oxford - 2012

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the … nonparametric high frequency estimator of the volatility of volatility. A fundamental device in the paper is a new type of result …

Persistent link: https://www.econbiz.de/10010554664

Volatility of aggregate volatility and hedge fund returns

Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - In: Journal of financial economics 125 (2017) 3, pp. 491-510

Persistent link: https://www.econbiz.de/10011751857

Assessment of uncertainty in high frequency data : the observed asymptotic variance

Mykland, Per A.; Zhang, Lan - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 197-231

Persistent link: https://www.econbiz.de/10011738478

Variance Risk Premium Differentials and Foreign Exchange Returns

Arash, Aloosh - Volkswirtschaftliche Fakultät, … - 2011

The uncovered interest rate parity does not hold in the foreign exchange market (UIP puzzle). I use the cross-country variance risk premium differential to measure the excess foreign exchange return. Consequently, similar to Bansal and Shaliastovich (2010), I provide a risk-based explanation for...

Persistent link: https://www.econbiz.de/10011113084

Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method

Alghalith, Moawia - In: Econometric reviews 35 (2016) 1/4, pp. 257-262

Persistent link: https://www.econbiz.de/10011549920

The skewness risk premium in equilibrium and stock return predictability

Sasaki, Hiroshi - In: Annals of finance 12 (2016) 1, pp. 95-133

Persistent link: https://www.econbiz.de/10011555439