options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this … volatility 'smile', which indicates a likely distortion in the Black-Scholes modeling of such option data. Reflective of entirely … different market expectations, this distortion in the volatility 'smile' appears not to exist in the TLT option data. We provide …

-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between … low and high volatility states. By combining equity risk estimates, obtained from the Realized Range Volatility, corrected … equity risk determinants in different volatility states and, without distributional assumptions on the realized range …

This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic … volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework … returns and logarithmic realized volatility but also enables flexible adjustments for estimation bias in realized volatility …

timelines were used to carry out stressed value at risks, and it was seen that during periods of crisis, the volatility of asset …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …