We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...

The aim of this study was to investigate the Granger causality between geopolitical risk (GPR) sub-indices in order to examine the implications of geopolitical risk on ten agricultural commodities classified as softs or grains. The Granger causality test was used to determine the causal...

The aim of this study was to determine whether referendums affect stock price risks and returns, using an event study approach. Daily end period data for the Swiss stock market index, the STOXX European market index, and the Swiss/US exchange rate running from the beginning of 2004 to June 2021,...

This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...

We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...

This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where...

A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a spectrally negative Lévy insurance risk. We consider the Laguerre series expansion of ruin probability, and provide an estimator for any of its partial sums by computing the...

We consider the well-known stochastic reserve estimation methods on the basis of generalized linear models, such as the (over-dispersed) Poisson model, the gamma model and the log-normal model. For the likely variability of the claims reserve, bootstrap method is considered. In the bootstrapping...

This paper introduces a model for intraday copper futures prices based on a stochastic differential equation (SDE). In particular, we derive an SDE that fits the model to the data and that is based on the whitening filter approach, a method characterizing linear time-variant systems. This method...