The volatility premium is a well-documented phenomenon, which can be approximated by the difference between the … previous month level of the VIX Index and the rolling 30-day close-to-close volatility. In concordance with existing literature …, we show evidence that VIX is generally above the 30-day rolling volatility giving rise to the volatility premium, so that …

Stochastic volatility models are widely used in interest rate modeling to match the option smiles -- the two most …, Heston-LMM and SABR-LMM respectively.In this paper we consider the CEV model with a general stochastic volatility. Assuming … that rate-volatility correlation is zero we are able to obtain an exact integral representation of the option price …

which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …

This paper attempts a re-examination of the relationship between the output volatility and economic growth using an … integrated (HFI) and low financially integrated (LFI) country groups. Overall, the results indicate that output volatility as a … proxy of macroeconomic volatility has negative effect on economic growth. The results appear to be stronger when we include …

method consists of specifying the joint distribution of the volatility and underlying at a given expiry and requires the … obtained as one-dimensional integrals. The specification of the volatility function is flexible and allows additional control …

funds and swap dealers cause price changes or volatility. We find little evidence that speculators destabilize financial … markets. To the contrary, speculative trading activity largely reacts to market conditions and reduces volatility levels …

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly …, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows … autoregressive conditional heteroskedasticity (GARCH), and stochastic volatility with jumps (SVJ) models. Our results are not due to …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

This paper proposes the new concept of stochastic leverage in stochastic volatility models.Stochastic leverage refers … stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic … tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility models which …