Showing 1 - 10 of 70,611
Persistent link: https://www.econbiz.de/10013534098
leverage recent advances in market regime (MR) clustering with the Implied Stochastic Volatility Model (ISVM). Time …-regime clustering is a temporal clustering method, that clusters the historic evolution of a market into different volatility periods … implied volatility (IV) data. In this paper, we applied this integrated time-regime clustering and ISVM method (termed MR …
Persistent link: https://www.econbiz.de/10013492415
Persistent link: https://www.econbiz.de/10012500934
Persistent link: https://www.econbiz.de/10003602801
Persistent link: https://www.econbiz.de/10009618794
Persistent link: https://www.econbiz.de/10009719741
Persistent link: https://www.econbiz.de/10009762689
In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all US financial companies with publicly traded equity options, we extract their option-implied value-at-risks (VaRs) and measure the spillover effects between individual company...
Persistent link: https://www.econbiz.de/10010226884
Persistent link: https://www.econbiz.de/10010468417
Persistent link: https://www.econbiz.de/10010508746