general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …

We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We … derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path … generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some …

risk management purposes. We estimate GARCH models to capture the behavior of the conditional volatility. The expected … daily volatility converges to the unconditional variance of the long-term volatility. We find that the tGARCH model provides …

The role of public sentiment in stock market volatility has recently become increasingly relevant. Twitter, in theory … potential improvement that social media adds to forecast performance of ARIMA and ARFIMA models of realized volatility using E … sentiment strengthens out-of-sample volatility forecasts across all time periods. While statistical significance exists …

In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto … model and forecast Bitcoin volatility. The empirical results demonstrate that least squares model-averaging methods in …