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Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

Persistent link: https://www.econbiz.de/10012484130

Net buying pressure and informed trading in the options market : evidence from earnings announcements

Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

Persistent link: https://www.econbiz.de/10012818141

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011555867

Hedging performance and multiscale relationships in the German electricity spot and futures markets

Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

Persistent link: https://www.econbiz.de/10011555959

Dynamic and static volatility interruptions : evidence from the Korean stock markets

Eom, Kyong Shik; Kwon, Kyungyoon; La, Sung Chae; Park, … - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19

We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions … investors from brief periods of abnormal volatility for individual stocks. We found that dynamic VI is effective in price …

Persistent link: https://www.econbiz.de/10013161697

Volatility spillovers among cryptocurrencies

Smales, Lee A. - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-12

-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … running in the other direction. Our results suggest that USDT does not currently play an important role in volatility …

Persistent link: https://www.econbiz.de/10012792439

An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

Persistent link: https://www.econbiz.de/10012388066

Oil price, oil price implied volatility (OVX) and illiquidity premiums in the US : (a)symmetry and the impact of macroeconomic factors

Essa, Mohammad Sharik; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 13 (2020) 4/70, pp. 1-40

We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid …-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account …

Persistent link: https://www.econbiz.de/10012302569

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

Persistent link: https://www.econbiz.de/10012309325

Arbitrage free approximations to candidate volatility surface quotations

Madan, Dilip B.; Schoutens, Wim - In: Journal of risk and financial management : JRFM 12 (2019) 2/69, pp. 1-21

difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

Persistent link: https://www.econbiz.de/10012022144

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