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Volatility Smile Trading
We study the problem of the volatility smile and the strategy of vega trading. We demonstrate limitations of conventional paradigms to the oil market...
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QSPR predicting the vapor pressure of pesticides into high/low volatility classes
In this work, the vapor pressure of pesticides is employed as an indicator of their volatility potential. Quantitative Structure-Property...
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Economic Policy Uncertainty and Volatility Spillovers Among International Stock Market Indices During the COVID-19 Outbreak
Using a sample of 16 international stock market indices spanning the period of January 2015 to June 2022, we examine how global equity markets...
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Assessing electoral volatility through ecological inference: the case of the 2014 and 2020 municipal elections in Montpellier
This article contributes to the study of electoral volatility in two-round majority elections by examining the 2014 and 2020 municipal elections in...
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The implication of cryptocurrency volatility on five largest African financial system stability
This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest...
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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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Stochastic Volatility Model
It is well known in financial markets that return volatility changes randomly with high persistence. This chapter considers a statistical model...
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Volatility
Begin to enumerate and differentiate across types of volatility.
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Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms
The study aims at forecasting the return volatility of the cryptocurrencies using several machine learning algorithms, like neural network...
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Trade policy announcements can increase price volatility in global food commodity markets
Many countries use trade policy to insulate their domestic markets from price volatility. However, there is a widespread concern that such...
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Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
In order to estimate volatility-dependent probability weighting functions, we obtain risk neutral and physical densities from the Pan (J Financ Econ...
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Volatility Analysis Using High-Frequency Financial Data
Stock market, whose total size exceeds 10 billion dollars, have boomed in the past few decades, becoming a crucial indicator of global economy. It is...
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Nonparametric Test for Volatility in Clustered Multiple Time Series
Contagion arising from clustering of multiple time series like those in the stock market indicators can further complicate the nature of volatility,...
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Forecasting EUA futures volatility with geopolitical risk: evidence from GARCH-MIDAS models
This paper examines whether the information contained in geopolitical risk ( GPR ) can improve the forecasting power of price volatility for carbon...
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Implied volatility surfaces: a comprehensive analysis using half a billion option prices
This study delves into the critical aspect of accurately estimating single stock volatility surfaces, a task indispensable for option pricing, risk...
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Energy Market: Assessment of Global and Local Market Volatility Amid the COVID-19 Pandemic
The study aimed to determine the relationship between the volatility of the international and national financial markets under the influence of the...
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Volatility Effect
The volatility effect is the tendency of stocks with relatively low volatility to outperform the market over time. It is contrary to the conventional...
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Volatility and Dynamic Herding in Energy Sector of Developed Markets During COVID-19: A Markov Regime-Switching Approach
This study examines a novel relationship between volatility and dynamic herding behavior during COVID-19 by examining the relationship of oil market...
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Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model
This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using...
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Unveiling the influence of economic complexity and economic shocks on output growth volatility: evidence from a global sample
While several studies have explored the impact of economic shocks on output volatility, little attention has been given to the role of a country’...
