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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

Bias reduction in spot volatility estimation from options

Todorov, Viktor; Zhang, Yang - In: Journal of econometrics 234 (2023) 1, pp. 53-81

Persistent link: https://www.econbiz.de/10014364661

Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10009754008

Assessing the quality of volatility estimators via option pricing

Sanfelici, Simona; Uboldi, Adamo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 103-124

Persistent link: https://www.econbiz.de/10010347332

A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices

Kumar, Dilip; Maheswaran, S. - In: Economic modelling 38 (2014), pp. 33-44

Persistent link: https://www.econbiz.de/10010418224

Volatility estimation and jump detection for drift-diffusion processes

Laurent, Sébastien; Shi, Shuping - In: Journal of econometrics 217 (2020) 2, pp. 259-290

Persistent link: https://www.econbiz.de/10012482762

Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model

Önalan, Ömer - In: Romanian journal of economic forecasting 25 (2022) 1, pp. 68-84

Persistent link: https://www.econbiz.de/10013411688

Estimating risk in illiquid markets : a model of market friction with stochastic volatility

Buccheri, Giuseppe; Grassi, Stefano; Vocalelli, Giorgio - In: Journal of financial econometrics 22 (2024) 2, pp. 531-574

Persistent link: https://www.econbiz.de/10014526336

Volatility predictability in crude oil futures : evidence based on OVX, GARCH and stochastic volatility models

Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - In: Energy strategy reviews 50 (2023), pp. 1-12

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...

Persistent link: https://www.econbiz.de/10014574074