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Stochastic Volatility and Realized Stochastic Volatility Models
This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo...
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Volatility forecasting using deep recurrent neural networks as GARCH models
Estimating and predicting volatility in time series is of great importance in different areas where it is required to quantify risk based on...
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Mixtures of generalized normal distributions and EGARCH models to analyse returns and volatility of ESG and traditional investments
Environmental, social and governance (ESG) criteria are increasingly integrated into investment process to contribute to overcoming global...
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Iterative QML estimation for asymmetric stochastic volatility models
The paper illustrates a new procedure for estimating asymmetric stochastic volatility models. These models shape the asymmetric effect of negative...
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Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility
This paper investigates the optimal asset-liability management problems for two managers subject to relative performance concerns in the presence of...
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Bayesian uncertainty quantification of local volatility model
Local volatility is an important quantity in option pricing, portfolio hedging, and risk management. It is not directly observable from the market;...
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Estimation and Inference in Financial Volatility Networks
This chapter presents a methodological approach for estimating and conducting statistical inference in financial networks of volatility. Starting...
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Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models
This paper considers a robust optimal investment problem for an ambiguity-averse asset-liability manager under the mean-variance criterion in the...
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Index Numbers
Index numbers are a type of economic indicator that represent the relative change in the value of a variable (e.g., price, quantity, production,...
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The effect of intraday periodicity on realized volatility measures
We focus on estimating daily integrated volatility ( IV ) by realized measures based on intraday returns following a discrete-time stochastic model...
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Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models
In this paper, we propose multivariate stochastic volatility models with a spherical parameterization of a Cholesky decomposition to make a...
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Variance Swaps Under Multiscale Stochastic Volatility of Volatility
Many hedge funds and retail investors demand volatility and variance derivatives in order to manage their exposure to volatility and...
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Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
In this paper, we propose a two-step test for parametric specification of volatility function based on high-frequency data with microstructure noise....
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Finance Application: Portfolio Analysis with a Market Index as a Leading Indicator in Simple Linear Regression
Simple linear regression of stock rates of return with a Market index provides an estimate of beta, a measure of Market specific risk, which is...
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Sparse vector heterogeneous autoregressive modeling for realized volatility
We propose a sparse vector heterogeneous autoregressive (VHAR) model for realized volatility forecasting. As a multivariate extension of a...
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The Italian Social Mood on Economy Index During the Covid-19 Crisis
Since 2016, Istat has published the Social Mood on Economy Index (SMEI), an experimental high-frequency sentiment index derived from public tweets in...