Options researchers have argued that by averaging together implied standard deviations, or ISDs, calculated from several options with the same expiry but different strikes, the noise in individual ISDs can be reduced, yielding a better measure of the market's volatility expectation. Various...

By Jensen's inequality, a model's forecasts of the variance and standard deviation of returns cannot both be unbiased. This study explores the bias in GARCH type model forecasts of the standard deviation of returns, which we argue is the more appropriate volatility measure for most financial...

The forecasting ability of the most popular volatility forecasting models is examined and an alternative model developed. Existing models are compared in terms of four attributes: (1) the relative weighting of recent versus older observations, (2) the estimation criterion, (3) the trade‐off in...

This paper explores differences in the impact of equally large positive and negative surprise return shocks in the aggregate U.S. stock market on: (1) the volatility predictions of asymmetric time-series models, (2) implied volatility, and (3) realized volatility. Following large negative...

Option pricing models and longer-term value-at-risk (VaR) models generally require volatility forecasts over horizons considerably longer than the data frequency. The typical recursive procedure for generating longer-term forecasts keeps the <italic>relative</italic> weights of recent and older observations the...

This paper estimates how the shape of the implied volatility smile and the size of the variance risk premium relate to parameters of GARCH-type time-series models measuring how conditional volatility responds to return shocks. Markets in which return shocks lead to large increases in conditional...

Urban freeways play an important role in urban traffic networks. Compared with highway traffic, urban freeway traffic has different characteristics, such as denser on- and off-ramps, more complex road conditions, and lower velocity limits. Until now, however, there has been no comprehensive...

This paper considers a class of feature selecting support vector machines (SVMs) based on Lq-norm regularization, where q∈(0,1). The standard SVM [Vapnik, V., 1995. The Nature of Statistical Learning Theory. Springer, NY.] minimizes the hinge loss function subject to the L2-norm penalty....

In traffic system, driving behaviors change with the surrounding traffic perceived by drivers, resulting in the complex spatio-temporal traffic patterns. Accordingly, in the majority of traffic models, vehicle accelerations are described by dynamic equations based on driving behavior, system...