. On one side, this finding opens terrain for a capital valuation theory yet to be developed; on the other side, it …

This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by … variance, and we examine the impact of the distribution of jumps on the associated implied volatility smile. We provide … sufficient conditions for the asymptotic behavior of the implied volatility of variance for small and large strikes. In …

error. To better understand these occurrences, this paper considers the volatility cycle of Value stocks globally …. Corresponding to tracking error and total risk, the volatility of both active and absolute returns is considered. It was found that … high volatility in the active returns of Value stocks was closely linked with the active performance cycle of these stocks …

increases in implied volatility over the next month, but realized volatility tends to decrease. The results are consistent with …