volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new …, risk-parity based approach to determine each model's accuracy. I find that traditional, sample covariance methods perform …

This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …

risk characteristics for Bitcoin are analyzed from a realized volatility dynamics view. The realized variance RV is … as futures and options. Those will depend on the dynamics, volatility, or even the jumps of cryptos. In this paper, the … role in choosing forecasting models. For long-horizon risk forecast, a finer model calibrated with jumps gives extra …

We work in the Uncertain Volatility Model setting of Avellaneda, Levy, Paras [1] and Lyons [10] (cf. also [11]). We … first look at European options in a market with no interest rate and focus on theextreme case where the volatility has a … volatility given by the lower bound) of an option with payoff the smallest concave function above the initial payoff. We next …

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for …

the relevant literature, such as energy price changes and economic policy uncertainty, along with macroeconomic and risk …

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the … correlated portfolios, relatively to fractional Kelly and full Kelly strategies. Our strategy reduce the short-term risk without … sacrificing growth rate to invest proportion in risk free assets. Simulation results and China commodity futures empirical results …