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Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities
Swishchuk, Anatoliy V. - 2009
) and volatility (Theorem 2) swaps for stochastic volatilities driven by the semi-Markov processes. We also discuss some … extensions of the obtained results such as local semi-Markov volatility, Dupire formula for the local semi-Markov volatility and …
Persistent link: https://www.econbiz.de/10014207748
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Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo - In: Quantitative finance 22 (2022) 3, pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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Asymptotics for volatility derivatives in multi-factor rough volatility models
Lacombe, Chloe; Muguruza, Aitor; Stone, Henry - In: Mathematics and financial economics 15 (2021) 3, pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
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Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil - In: Quantitative finance 22 (2022) 10, pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
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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
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
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Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83
studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …
Persistent link: https://www.econbiz.de/10012513279
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Modelling volatility of cryptocurrencies using Markov-switching GARCH models
Caporale, Guglielmo Maria; Zekokh, Timur - 2018
This paper aims to select the best model or set of models for modelling volatility of the four most popular …
Persistent link: https://www.econbiz.de/10011882344
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Modelling volatility of cryptocurrencies using Markov-switching GARCH models
Caporale, Guglielmo Maria; Zekokh, Timur - 2018
Persistent link: https://www.econbiz.de/10011995757
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Volatility regimes of selected central European stock returns : a Markov switching GARCH approach
Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894
the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …
Persistent link: https://www.econbiz.de/10013499116