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A time-series analysis and forecast of CAPE
Fandetti, Marc - In: The journal of portfolio management : JPM 47 (2021) 8, pp. 138-150
Persistent link: https://www.econbiz.de/10012613449
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A study on the prediction of realized volatility of KOSPI 200 index option : pre & post the global financial crisis
Choi, Won Cheol; Park, Sang Beom - In: International journal of economics and finance 6 (2014) 12, pp. 15-26
Persistent link: https://www.econbiz.de/10010460917
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Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Chuang, Wen-i; Huang, Teng-ching; Lin, Bing-huei - In: The North American journal of economics and finance : a … 25 (2013), pp. 168-187
Persistent link: https://www.econbiz.de/10009779311
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Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models
Wang, Chou-Wen; Huang, Hong-Chih - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 501-525
Persistent link: https://www.econbiz.de/10011729607
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Equity market integration and portfolio decisions : a study of NASDAQ USA and MSCI emerging markets Asia indexes
Patel, Ritesh Jayantibhai - In: The journal of wealth management : JWM 24 (2021) 1, pp. 11-39
Persistent link: https://www.econbiz.de/10012519192
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Time-varying autoregressive distributed lag model with changing volatility for stress test
Zhou, Leilei; Zhu, Wei - In: Journal of risk management in financial institutions 14 (2020/2021) 2, pp. 195-208
Persistent link: https://www.econbiz.de/10012613982
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Forecasting the realized volatility of stock markets with financial stress
Guo, Chuan; Feng, Yiyun - In: Journal of risk 25 (2022) 1, pp. 23-48
Persistent link: https://www.econbiz.de/10013549680
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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Vogl, Markus; Roetzel, Peter Gordon - 2021
In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...
Persistent link: https://www.econbiz.de/10013229642
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …
Persistent link: https://www.econbiz.de/10011412294
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900