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The systemic risk approach based on implied and realized volatility
Sakowski, Paweł; Sieradzki, Rafał; Ślepaczuk, Robert - 2023
Persistent link: https://www.econbiz.de/10014305898
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Volatility concepts and risk management tools
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015
Persistent link: https://www.econbiz.de/10011547074
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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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Nearest Neighbor Predictions of Realized Volatility for S&P 100 Options Trading
Andrada-Felix, Julian - 2019
The increasing availability of intraday financial data has led to improvements in daily volatility forecasting through … long-memory models of realized volatility. This paper demonstrates the merit of the non-parametric Nearest Neighbor (NN …
Persistent link: https://www.econbiz.de/10012905360
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Application of ARCH and GARCH Models to Test the Implied Volatility of a 3 – Month Nordea Bank Call Option Contract
Guirguis, Michel - 2019
implied volatility of a 3 – month Nordea bank call option contract returns, for changing conditional variances to spot any …
Persistent link: https://www.econbiz.de/10012890763
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On the seasonality in the implied volatility of electricity options
Fanelli, Viviana; Schmeck, Maren Diane - In: Quantitative finance 19 (2019) 8, pp. 1321-1337
Persistent link: https://www.econbiz.de/10012194790
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Volatility measures and Value-at-Risk
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - In: International journal of forecasting 33 (2017) 4, pp. 848-863
Persistent link: https://www.econbiz.de/10011746918
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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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Volatility co-movements : a time-scale decomposition analysis
Cipollini, Andrea; Lo Cascio, Iolanda; Muzzioli, Silvia - In: Journal of empirical finance 34 (2015), pp. 34-44
Persistent link: https://www.econbiz.de/10011556988