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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, Arianna - 2022
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...
Persistent link: https://www.econbiz.de/10013292792
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000668367
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Nonparametric modeling in financial time series
Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009
Persistent link: https://www.econbiz.de/10003834268
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000989214
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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …
Persistent link: https://www.econbiz.de/10012023869
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Volatility co-movement and the great moderation : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2016
volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …
Persistent link: https://www.econbiz.de/10011554403
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The evolving impact of global, region-specific, and country-specific uncertainty
Mumtaz, Haroon; Musso, Alberto - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 466-481
Persistent link: https://www.econbiz.de/10012499092
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What has caused global business cycle decoupling : smaller shocks or reduced sensitivity?
Berger, Tino; Richter, Julia - 2017
According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business...
Persistent link: https://www.econbiz.de/10011584095
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Modeling time-variation over the business cycle (1960-2017) : an international perspective
Martínez-García, Enrique - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-25
Persistent link: https://www.econbiz.de/10011966119
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The evolving impact of global, region-speci c and country-speci c uncertainty
Mumtazy, Haroon; Mussoz, Alberto - 2018
We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …
Persistent link: https://www.econbiz.de/10011904508