We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motion. …

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …

the existence of such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng …'s G-Brownian motions. -- mutually singular priors ; uncertain volatility ; sublinear expectation ; viability of sublinear …

volatility of prices. The normality of returns improves during the post-nighttime trading period. As documented in the literature …, the interactions between trading activities (i.e., trading volume and open interest) and volatility conform better to the …

This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative … events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short …-window earnings announcement periods. The predictive power is incremental to the information in historical volatility, financial …

Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the … volatility of both markets …