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Assessing the performance of symmetric and asymmetric implied volatility functions

Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397

Persistent link: https://www.econbiz.de/10010391631

Option pricing with Markov switching stochastic volatility models

Cheng, Yiying - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 53-63

Persistent link: https://www.econbiz.de/10012601380

Volatility model applications in China's SSE50 options market

Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720

Persistent link: https://www.econbiz.de/10013465807

Volatility is rough

Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Options - 45 years since the publication of the …, (pp. 127-172). 2023

Persistent link: https://www.econbiz.de/10014366596

Threshold stochastic volatility : properties and forecasting

Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123

Persistent link: https://www.econbiz.de/10011746949

Option pricing under time-varying risk-aversion with applications to risk forecasting

Kiesel, Rüdiger; Rahe, Florentin - In: Journal of banking & finance 76 (2017), pp. 120-138

Persistent link: https://www.econbiz.de/10011814247

Volatility is rough

Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949

Persistent link: https://www.econbiz.de/10011910932

Empirical comparison of alternative implied volatility measures of the forecasting performance of future volatility

Rhee, Dong Woo; Byun, Suk Joon; Kim, Sol - In: Asia-Pacific journal of financial studies 41 (2012) 1, pp. 103-124

Persistent link: https://www.econbiz.de/10009514731

COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783

Forecasting the variability of stock index returns with stochastic volatility models and implied volatility

Hol Uspensky, Eugenie; Koopman, Siem Jan - 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 … stochastic shocks incorporated in the SVXmodels. The out-of-sample volatility forecasts are evaluated against dailysquared …

Persistent link: https://www.econbiz.de/10011304384