Showing 1 - 10 of 1,446
This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility …
Persistent link: https://www.econbiz.de/10005858327
This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …
Persistent link: https://www.econbiz.de/10010397681
In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our …
Persistent link: https://www.econbiz.de/10005858246
stochastically correlated default intensities, ormultivariate dynamic portfolio choice with volatility and correlation jumps. We then … dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generatevariations of the implied volatility … skew term structures that are largely unrelated to the level andcomposition of the spot volatility.[...] …
Persistent link: https://www.econbiz.de/10009248844
of a daily risk-return tradeoff in the FX market based on the GARCH, realized, and range volatility estimators. The …
Persistent link: https://www.econbiz.de/10010277261
volatility processes, with small departures from the martingale in mean property. The paper also analyzes several years of high … frequency intra day commodity futures returns and finds very similar long memory in volatility features at this higher frequency …
Persistent link: https://www.econbiz.de/10010284155
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for …
Persistent link: https://www.econbiz.de/10010292171
proxy for σ2t. We show that some commonly used criteria for evaluation of volatility models, may induce a different … provide an additional argument for using intra-day data to approximate σ2t , such as realized volatility. …
Persistent link: https://www.econbiz.de/10010318932
volatility of output and its components. Specifically, the change in the joint stochastic process accounts for close to 70 … percent of the moderation in output volatility. …
Persistent link: https://www.econbiz.de/10010292361
to overall realized variation and their contribution to predictive regressions of realized volatility. We find evidence …
Persistent link: https://www.econbiz.de/10010282828