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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
Hua, Qiuling; Jiang, Tingfeng; Cheng, Zhang - In: Quantitative finance 18 (2018) 9, pp. 1501-1515
Persistent link: https://www.econbiz.de/10011913179
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Dynamics of foreign exchange implied volatility and implied correlation surfaces
Beer, Simone; Fink, Holger Maria - In: Quantitative finance 19 (2019) 8, pp. 1293-1320
Persistent link: https://www.econbiz.de/10012194789
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The impact of options introduction on the volatility of the underlying equities : evidence from the Chinese stock markets
Arkorful, Gideon Bruce; Chen, Haiqiang; Liu, Xiaoqun; … - In: Quantitative finance 20 (2020) 12, pp. 2015-2024
Persistent link: https://www.econbiz.de/10012313545
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Implied roughness in the term structure of oil market volatility
Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
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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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Volatility is (mostly) path-dependent
Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
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Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799