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 …

Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … time varying risk factor loadings. Unconditional alpha subsequently becomes biased when asset ivol correlates with the …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is …Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in …

volatility of common stocks at the market, industry and firm levels. We find market volatility, on average, is the highest while … firm volatility tends to lead to market and industry volatility series. None long-term trend time series behaviour exists … for all three volatility series and firm volatility is best described by an autoregressive process with regime shifts …

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …

The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of …, choice of calibrating functional and selection of numerical optimization algorithms, volatility surface dynamics and …

continuum of moments conditions in GMM with implied states. We introduce a partial-information approach to reduce the … capturing jump contagion for risk management, option pricing, and scenario analysis. …

increase in the idiosyncratic volatility of the underlying stock. This result can not be explained by standard risk factors. It … is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with … idiosyncratic volatility stocks due to their higher arbitrage costs. Controlling for limits to arbitrage proxies reduces the …

This study focus on applying the Heston's stochastic volatility model, to the Greek stock market, by estimating the … futures values of volatility …