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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

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

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

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

Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns

Tsiaras, Leonidas - School of Economics and Management, University of Aarhus - 2010

. Using prices of currency options that are available in the public domain, risk-neutral dependency expectations are extracted …

Persistent link: https://www.econbiz.de/10008462030

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2007

index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the …

Persistent link: https://www.econbiz.de/10005440033

Pricing Volatility of Stock Returns with Volatile and Persistent Components

Zhu, Jie - School of Economics and Management, University of Aarhus - 2008

In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock...

Persistent link: https://www.econbiz.de/10005440035

Inference for the jump part of quadratic variation of Itô semimartingales

Veraart, Almut - School of Economics and Management, University of Aarhus - 2008

Recent research has focused on modelling asset prices by Itô semimartingales. In such a modelling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference...

Persistent link: https://www.econbiz.de/10005440041

Option Valuation with Long-run and Short-run Volatility Components

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - School of Economics and Management, University of Aarhus - 2008

This paper presents a new model for the valuation of European options, in which the volatility of returns consists of … easy valuation of European options. The model substantially outperforms a benchmark single-component volatility model that … is well-established in the literature, and it fits options better than a model that combines conditional …

Persistent link: https://www.econbiz.de/10005440047

Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2008

We extend the VAR based intertemporal asset allocation approach from Campbell et al. (2003) to the case where the VAR parameter estimates are adjusted for small-sample bias. We apply the analytical bias formula from Pope (1990) using both Campbell et al.'s dataset, and an extended dataset with...

Persistent link: https://www.econbiz.de/10005440049