allocation framework where the empirical results are equity-like returns with volatility, Sharpe ratio and drawdown. In this …

well as varying the number of epochs, and is combined with a new method of capturing volatility using an event …

been developed whilst the volatility of underlying asset return dynamics are modelled by Markov regime switching model. Its … immediate application is on pricing of the Chinese warrants. To access the potential of neural network pricing with volatility … volatility estimation) has a superior performance comparing the warrant pricing by using the Black-Scholes model with historical …

The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …

The purpose of this paper is to examine the relation between extreme return correlation and return volatility, in the … context of US stock indexes, by detecting clusters of extreme returns using return and volatility thresholds based on an … volatility is then based on the extent of overlapping extreme return clusters across DJIA, S&P 500 and NASDAQ composite. It is …

volatility, while the EGARCH model gives a negative relationship. We suggest that market operators should try as much as possible …

Purpose – The purpose of this paper is to propose a new method for estimating continuous-time stochastic volatility (SV … Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX). Design/methodology/approach – A primary …

Purpose – The purpose of this paper is to examine the volatility of daily returns in a sample of developed and emerging … scales. While emerging markets generally exhibit a higher level of volatility, the relative contribution from each time scale …