The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but … with respect to the bandwidth selection as well as the sampling frequency selection. The main finding is that the kernel … bandwidth is strongly related to the sampling frequency at the slow-time-time scale when applying a two-scale estimator, while …

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …