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Currency Hedge Design : Accounting for Uncertain Correlation and Volatility
Seymour, Anthony - 2016
framework and that the particular choice of hedge is strongly dependent on the correlation between the exchange rate and the … currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic … conditional correlation (DCC) model in a simulation framework allows one to incorporate the effects of time-varying parameters …
Persistent link: https://www.econbiz.de/10012994157
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Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023
Persistent link: https://www.econbiz.de/10014366655
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Long-range dependence in returns and volatility of Central European Stock indices
Krištoufek, Ladislav - 2010
In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and postblackening is used for the construction of confidence...
Persistent link: https://www.econbiz.de/10010322268
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Homogeneous volatility bridge estimators
Saičev, Aleksandr I.; Sornette, Didier; Filimonov, Vladimir - 2009
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process,...
Persistent link: https://www.econbiz.de/10003971317
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Long-range dependence in returns and volatility of Central European Stock indices
Kristoufek, Ladislav - 2010
In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and postblackening is used for the construction of confidence...
Persistent link: https://www.econbiz.de/10003958694
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When the US stock market becomes extreme?
Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225
Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....
Persistent link: https://www.econbiz.de/10010399734
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Using VIX Data to Enhance Technical Trading Signals
Kozyra, James - 2011
The purpose of this paper is to provide new insights into the relationship between technical analysis and implied market volatility (VIX) by calculating technical trading rules with the VIX price data, as opposed to the stock prices. Three trending trading rule signals are calculated on the...
Persistent link: https://www.econbiz.de/10013120392
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Efficiency and Probabilistic Properties of Bridge Volatility Estimator
Saichev, Alexander I. - 2012
We discuss efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman-Klass and Roger-Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on bridge estimator, are considerably more efficient than analogous...
Persistent link: https://www.econbiz.de/10013108805
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A Slightly Depressing Jump Model : Intraday Volatility Pattern Simulation
Khashanah, Khaldoun - 2019
Hawkes Processes have been finding more applications in diverse areas of science, engineering and quantitative finance. In multi-frequency finance, various phenomena have been observed, such as shocks, crashes, volatility clustering, turbulent flows and contagion. Hawkes processes have been...
Persistent link: https://www.econbiz.de/10012900909
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Can Tail Risk Explain Size, Book-to-Market, Momentum, and Idiosyncratic Volatility Anomalies?
Aboura, Sofiane - 2019
We examine the impact of tail risk on the return dynamics of size, book-to-market ratio, momentum, and idiosyncratic volatility sorted portfolios. Our time-series analyses document significant portfolio return exposures to aggregate tail risk. In particular, portfolios that contain small, value,...
Persistent link: https://www.econbiz.de/10012902950