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Forecasting volatility with machine learning and rough volatility: example from the crypto-winter
We extend the application and test the performance of a recently introduced volatility prediction framework encompassing LSTM and rough volatility....
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Interconnectedness of cryptocurrency markets: an intraday analysis of volatility spillovers based on realized volatility decomposition
The cryptocurrency market has undergone significant turbulence, characterized by enormous volatility shifts, as recently experienced during the...
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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 connectedness of GCC stock markets: how global oil price volatility drives volatility spillover in GCC stock markets?
The study investigated the volatility connectedness of GCC stock market return and S&P global oil index returns using Diebold and Yilmaz (
2012 )...
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Rough Volatility
Investors are increasingly concerned about the security of their investment in light of the fact that volatility could lead to an increase or decline...
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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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Sharpe-optimal volatility futures carry
Holding volatility as part of an institutional portfolio is often found not to benefit the overall characteristics of the resulting portfolio. This...
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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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Volatility and returns of ESG indices: evidence from Japan
In this study, we compare the volatility characteristics and return performance of MSCI Japan ESG Select Leaders Index (SLI) and, its parent index,...
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Option pricing in a sentiment-biased stochastic volatility model
This paper presents a Markov-modulated stochastic volatility model that captures the dependency of market regimes on investor sentiment. The main...
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Local and Stochastic Volatility Models
With the fast development of derivatives and structured products, advanced models are needed to improve the pricing and valuation accuracy as well as...
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Functional central limit theorems for rough volatility
The non-Markovian nature of rough volatility makes Monte Carlo methods challenging, and it is in fact a major challenge to develop fast and accurate...
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Interpolation of missing swaption volatility data using variational autoencoders
Albeit of crucial interest for financial researchers, market-implied volatility data of European swaptions often exhibit large portions of missing...
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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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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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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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Response of Africa to global sovereign bond volatility spillover
Evidence-based knowledge of the direction and magnitude of sovereign bond volatility spillover between African and international sovereign bond...
