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Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility
In this paper, we study the variance and volatility swaps pricing problem under the framework of double Heston jump diffusion model with...
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Macroeconomic attention and commodity market volatility
In this paper, we empirically examine the relationship between the novel macroeconomic attention indices (MAI) and commodity market volatility....
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Market Ecology: Trading Strategies and Market Volatility
The value strategy and technical analysis strategy have existed in the financial market for a long time, and the impact of these two types of...
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Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading...
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A comparison of cryptocurrency volatility-benchmarking new and mature asset classes
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility....
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Macroprudential Policies and Volatility of Investments
The main aim of macroprudential policies (MPs) is to stabilize financial systems, but indirectly they also create more steady conditions in the...
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Exchange Rate Volatility and Firms’ Export Decisions: Evidence from Exporter Dynamics Database
In this paper, we study the effects of bilateral exchange rate volatility on the extensive margin of export. More specifically, we explore the effect...
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Research on jumps and volatility in China’s carbon market
This paper analyzes the jum** behavior and factors influencing volatility in China’s five carbon pilot markets. We confirm the presence of a...
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Energy aid volatility across develo** countries: a disaggregated sectoral analysis
Empirical evidence on general aid volatility reveals that it is a limiting factor that impedes aid effectiveness. Unlike the previous studies...
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Option Pricing and Local Volatility Surface by Physics-Informed Neural Network
We use an artificial neural network for finance in two directions: to estimate prices and Greeks based on the geometric Brownian motion and the...
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An investigation of the Volatility Adjustment
We use market data to reconstruct the volatility adjustment, a component of the Solvency II framework designed to mitigate the impact of market risk...
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Calibration of Local Volatility Surfaces from Observed Market Call and Put Option Prices
We present a novel, straightforward, robust, and precise calibration algorithm for local volatility surfaces based on observed market call and put...
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Official Intervention, Reserve Accumulation and Exchange Rate Volatility
The Reserve Bank of India often claims that the official intervention in the foreign exchange market primarily aims at minimizing undue fluctuations...
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Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency...
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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR)...
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Volatility spillovers among leading cryptocurrencies and US energy and technology companies
This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin), four...
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A hybrid econometrics and machine learning based modeling of realized volatility of natural gas
Determining which variables affect price realized volatility has always been challenging. This paper proposes to explain how financial assets...
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Forecasting volatility by using wavelet transform, ARIMA and GARCH models
Forecasting volatility of certain stocks plays an important role for investors as it allows to quantify associated trading risk and thus make right...
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Dynamic volatility among fossil energy, clean energy and major assets: evidence from the novel DCC-GARCH
The objective of this paper is to assess the dynamic volatility connectedness between fossil energy, clean energy, and major assets i.e., Bonds,...
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Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market
This paper attempts to extend the approach of quantitative investment and provide investors with suggestions about volatility timing. Based on the...
