exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

This paper tests whether it is possible to improve point, quantile and density forecasts of realized volatility by … more information for the evolution of the volatility distribution beyond that contained in its own past. The best …

(S&P, FTSE, CAC, SMI and DAX), we separate option-implied volatility into Ross-recovered true expected volatility and a … risk preference factor. We investigate whether these factors perform better to forecast realized volatility if constructed … evidence of significantly improved realized volatility forecasts. Models using Ross-recovered value-weighted global measures of …

volatility. Specifically, we combined Bayesian Model Averaging (BMA), Principal Component Analysis (PCA), Non-negative Matrix … realized volatility. The results showed that reduced models were able to perform in a similar way or even outperforms the …

predictive capability of currency volatility risk premia for currency returns. The volatility risk premium -- the difference … between expected realized volatility and model-free implied volatility -- reflects the costs of insuring against currency … volatility fluctuations, and the strategy sells high-insurance-cost currencies and buys low-insurance-cost currencies. The …

This paper examines whether financial statement information can predict future realized volatility incremental to the … volatility implied by option market prices. Prior research establishes that option-implied volatility is a biased estimator of … future realized volatility. I use an analytical framework to identify accounting-based drivers of equity returns volatility …

In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto … model and forecast Bitcoin volatility. The empirical results demonstrate that least squares model-averaging methods in …

We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible … commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable … volatility increase before a crash, but we do not see this as a consistent behavior. We examine forty well-known bubbles and …

influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently … proposed asymmetric probability distributions and the APARCH and FGARCH volatility specifications beat more standard … parameter in conditional volatility in the APARCH and FGARCH models explains their better performance. Indeed, our estimates …