Search Results - subject:"volatility of volatility"

Volatility of volatility : estimation and tests based on noisy high frequency data with jumps

Li, Yingying; Liu, Guangying; Zhang, Zhiyuan - In: Journal of econometrics 229 (2022) 2, pp. 422-451

Persistent link: https://www.econbiz.de/10013441895

Least squares Monte Carlo methods in stochastic Volterra rough volatility models

Guerreiro, Henrique; Guerra, João - In: The journal of computational finance 26 (2022) 3, pp. 73-101

Persistent link: https://www.econbiz.de/10014314563

Tempered stable processes with time-varying exponential tails

Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561

Persistent link: https://www.econbiz.de/10013167779

Volatility-of-volatility risk

Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; … - 2018

We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility … are more exposed to volatility and volatility-of-volatility risks. Volatility and volatility of volatility significantly …

Persistent link: https://www.econbiz.de/10011849504

Volatility-of-volatility risk

Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; … - 2018

Persistent link: https://www.econbiz.de/10011849232

Volatility-of-Volatility Risk

Huang, Darien - 2018

We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility … volatility and volatility-of-volatility risks. Volatility and volatility of volatility significantly and negatively predict …

Persistent link: https://www.econbiz.de/10012937769