In this paper we want to trace back the origin of what has been called the low volatility anomaly. In particular we are …

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

even the simplest, such as expected utility theory, able to describe the behavior of decision-makers within a more … volatility of the lotteries faced. This simplifies applications of the framework to financial decision-making problems. For the …

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

This paper examines the impact of net buying pressure and the event of 9/11 on the implied volatility of the U.K. FTSE … options plays a dominant role in determining the shape of the implied volatility function. Further, the event of 9/11 has a … transitory influence on the implied volatility change. Our results also support the notion that hedging pressure can help explain …

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …

covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …

volatility (VIX index). The implied volatility is a forward looking variable which tells about the realised market volatility … based of market participant's expectations. Most of the times this implied volatility is over estimated compared to the … realised volatility due to the speculative behaviour of the market participants. This speculative behaviour causes virtual …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …