Showing 51 - 60 of 261,828
to model a credit quality process as an Ito integral with respect to a Brownian motion with a stochastic volatility … conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Levy …
Persistent link: https://www.econbiz.de/10013154080
We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …
Persistent link: https://www.econbiz.de/10013088630
Skewness is specifically considered to develop semi-parametric upper bounds for option prices and expected payoffs for call options. Bounds on variance default swaps, a new asset, and for the variance risk premium are derived.The Technical Proof for this paper is available at the following URL:...
Persistent link: https://www.econbiz.de/10013089436
understand the impact of macro and microeconomic forces on risk neutral volatility. VIX often increases with macroeconomic news …
Persistent link: https://www.econbiz.de/10013065496
new measure of tail risk, we suggest using a model-free, risk-neutral measure of the volatility of volatility implied by a … four weeks. Furthermore, we find that volatility of volatility risk and its associated risk premium both significantly … contribute to the forecasting power of the VVIX index, and that the predictability largely results from the integrated volatility …
Persistent link: https://www.econbiz.de/10013074319
effect arise endogenously, and show that the pricing of volatility risk is the economic channel behind the strong positive …
Persistent link: https://www.econbiz.de/10012898570
After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of … returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross … to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0 …
Persistent link: https://www.econbiz.de/10013058330
volatility specifications and/or jumps.In the yield curve literature it is widely accepted that one-factor is not sufficient to …-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation …-term returns and variance. The numerical tests reveal how the introduction of two volatility factors can generate a wide range of …
Persistent link: https://www.econbiz.de/10013063536
This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …
Persistent link: https://www.econbiz.de/10014236052
volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which al …- lows to identify announcement returns, capture intraday volatility dynamics, and identify conditional announcement … volatility. Long time spans are needed due to the infrequency of most announcements. We focus on crude oil due to its economic …
Persistent link: https://www.econbiz.de/10014236599