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Level Shifts in Volatility and the Implied-Realized Volatility Relation
Christensen, Bent Jesper; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2010
We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the...
Persistent link: https://www.econbiz.de/10008549066
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - School of Economics and Management, University of Aarhus - 2007
, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …
Persistent link: https://www.econbiz.de/10005004428
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Stochastic Volatility
Andersen, Torben G.; Benzoni, Luca - School of Economics and Management, University of Aarhus - 2010
We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with illustrations of the scope of application of these models to practical finance problems. In a broad sense, this model class includes GARCH, but we focus on a narrower set of...
Persistent link: https://www.econbiz.de/10008504200
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10011256871
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A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - Tinbergen Instituut - 2013
Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. Recently, Hong showed in his breakthrough papers that efficient simulation based estimators can be obtained for quantile sensitivities by means of sample path...
Persistent link: https://www.econbiz.de/10011257156
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Tails, Fears and Risk Premia
Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009
options and new model-free option implied variation measures explicitly designed to separate the tail probabilities. At a …
Persistent link: https://www.econbiz.de/10004980201
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Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2000
In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...
Persistent link: https://www.econbiz.de/10011255461
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The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data
Varneskov, Rasmus Tangsgaard - School of Economics and Management, University of Aarhus - 2010
This paper considers the performance of different long-memory dynamic models when forecasting volatility in the stock market using implied volatility as an exogenous variable in the information set. Observed volatility is separated into its continuous and jump components in a framework that...
Persistent link: https://www.econbiz.de/10008462019