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Heavy metals : might as well jump
Wilmot, Neil A. - In: International Journal of Financial Studies : open … 7 (2019) 2/33, pp. 1-14
metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …
Persistent link: https://www.econbiz.de/10012038566
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Selected methods of securing the refining sector against crude oil price fluctuations
Łamasz, Bartosz; Iwaszczuk, Natalia; Ivashchuk, Oleksandr - In: International journal of management and economics 54 (2018) 3, pp. 197-209
The contemporary refining sector has to contend with many types of risks, among which price risk is considered to be the foremost. Moreover, refineries define it as a commodity risk and identify it with both opportunities and threats carried by changes in prices of crude oil and products of...
Persistent link: https://www.econbiz.de/10012027171
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Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470
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Credit risk modeling under conditional volatility
Rohde, Johannes; Sibbertsen, Philipp - 2014
) lays the groundwork for the assessment of a firm's credit risk by its default probability. Doubtlessly, the volatility of … approach with conditional volatility models, we empirically examine in this article that the specification of conditional … volatility affects the probability of default and therefor the credit rating. More precisely, we show on German stock market data …
Persistent link: https://www.econbiz.de/10010344867
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Modeling and predicting the market volatility index : the case of VKOSPI
Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015
) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …
Persistent link: https://www.econbiz.de/10010478493
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …
Persistent link: https://www.econbiz.de/10009580460
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Common Factors and Causality in the Dynamics of Implied Volatility Surfaces : Evidence from the FX OTC Market
Chalamandaris, George - 2011
In this paper we explore the dynamics of Implied Volatility Surfaces (IVS) both in a single-currency framework, and in …
Persistent link: https://www.econbiz.de/10013118291
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A Mathematical Model for American Call Option with Dividends and Variable Volatility
2011
leverage effect on volatility is developed. The effect of strike price, interest rate, dividends and maturities on option …
Persistent link: https://www.econbiz.de/10013119719
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Option Pricing Models with HF Data - A Comparative Study - The Properties of the Black Model with Different Volatility Measures
Kokoszczynski, Ryszard - 2011
volatility measures and estimators applied in the process of valuation. We calculate the Black model with historical (BHV …), implied (BIV) and several different types of realized (BRV) volatility (additionally searching for the optimal interval Δ, and …. Applying different volatility processes for the same pricing model suggest strongly that point-estimate, not averaged process …
Persistent link: https://www.econbiz.de/10013125627
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Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options
Kokoszczynski, Ryszard - 2011
check the properties of option pricing models with different assumptions concerning the volatility process (historical … pricing and to check the robustness of our results. The Black model with implied volatility (BIV) comes as the best model and … the realized volatility model as the worst one. Moreover, we do not see any advantage of much complex and time …
Persistent link: https://www.econbiz.de/10013125708