historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We … .nd that option-implied volatility and skewness are also good predictors of future realized beta. Motivated by this .nding …

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including … dans le contexte du modèle du CAPM (Capital Asset Pricing Model), permettent de considérer diverses classes de …

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the … stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming …

distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics … approach for estimating the so called integrated volatility, which represents the cumulative integral of instantaneous …

volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …