implied volatility
Implied volatility smirk in Lévy markets
... clear implied volatility pattern, where the dumping param- eter controls the skew of the implied volatility curve, resulting in a measure of the skewness of the ...in implied volatil- ...
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Arbitrage-free prediction of implied volatility: a comparison study
... Before showing the results for the implied volatility forecast we will analyze the Wiener-Granger test and prediction of the SABR parameters. Table 1 shows the p-values of a Wiener-Granger causality test to ...
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HISTORICAL AND IMPLIED VOLATILITY: AN INVESTIGATION INTO NSE NIFTY FUTURES AND OPTIONS
... the volatility estimate for getting the value of an ...but volatility is a matter of estimation and ...estimate volatility based on their perspective and will get different model option ...The ...
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Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?
... the implied volatility index of KOSPI (South Korea) against RiskMetrics, Black-Scholes’ implied volatility and GJR-GARCH ...the implied volatility index extracted from option ...
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Implied volatility: can we improve VAR models?
... about implied volatilities is that we do not need to make any assumptions in that ...sense. Implied volatility always represents some general market consensus about the future volatility of ...
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Analysing movements in investor’s risk aversion using the Heston volatility model
... Summing-up all these considerations and based on recently elaborated analyses by Alupoaiei, Codîrla şu and Săndică (2012), we investigate the case of existing “epidemiological” relationship between forecasts of ...
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Option pricing under multiscale stochastic volatility
... tic volatility models lead to a first-order approximation of derivatives prices and of the implied volatility ...when volatility is driven by short and long time scale factors, they derive a ...
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Empirical performance of three option pricing models
... The parameter estimation results for the CEV model was very surprising. While general literature agrees that the parameter 𝛽 should be around -2 and -6, on this thesis it is shown that 𝛽 can go as further as -28. Sample ...
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CRASHES, VOLATILITY, AND THE EQUITY PREMIUM: LESSONS FROM SP 500 OPTIONS
... of volatility and jump ...diffusive volatility, 公V, is fixed at its sample average while the state variable for jump intensity, Z, is either at its sample average or 1 standard deviation above or below ...
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Forecasting USD-BRL Currency Rate Volatility using Realized and Implied Volatilities Data ♦
... based volatility forecasting models applied to USD-BRL currency can benefit from using exogenous variables, na- mely: implied volatility, represented by the FXVol index calculated by the Brazilian ...
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Determinants of the implied equity risk premium in Brazil
... the implied equity risk premium for the Brazilian ...the implied premium is a superior measure to the commonly used historic premiums because the market should be affected by expected changes of returns, ...
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ACTIVE PORTFOLIO MANAGEMENT USING THE BLACK- LITTERMAN MODEL Individual Report
... of volatility and capture some persistence of volatility data as ...the volatility using all available data, and then compares the fitted values with the actual ...
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Clientelism and electoral volatility in Brazil
... This dissertation theoretical and empirical findings are relevant to current literature because they shed light over an understudied phenomenon, short-term clientelism. While most studies of clientelism focus on ...
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Aplicação Empírica da Realized Volatility ao índice PSI20
... O objectivo principal do estudo consiste em fazer uma aplicação empírica da RV ao índice PSI2(), focando sobretudo nos estudos das propriedades das distribuições condicionais c não con[r] ...
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The Sao Paulo stock exchange and the economic stabilization
... The central purpose of this paper is to analyze the impacts of the inflationary stabilization brought about after the introduction of the Real Plan on Bovespa’s markets. Aspects such as volatility, return ...
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Banal and Implied Forms of Violence in Levinas' Phenomenological Ethics
... The varieties of violence within the Levinasian framework indeed range from the banal to the implied. Banal are those which are revealed outright – forms of violence that begin in thought and inflict the human ...
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Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
... of volatility feedback, like the one of Campbell and Hentschel ...the volatility feedback model demands the existence of a large flow of news so that large price movements are ...the volatility of ...
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The Reliable Integrated Decision for Stock Price by Multilayer Integration Time-series of Coverage Reasonability
... Lack of research seeks for reasonability of the volatility that is tracking asymptotic trend in different time periods. We propose a concept of coverage reasonability to realize the improvement of prediction of ...
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VALUATION OF VOLATILITY MODELS FOR FORECASTINGV ALUE AT
... To completely specify the GARCH model or any extensions considered one also needs to specify the lag orders. According to Nicolau (2012) the GARCH(1,1) specification has been relatively successful in many applications. ...
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Financial constraints,asset liquidity and investment volatility
... However, in the case of the relationship lending economy, since debt is a concave function of capital, the impact of more liquidity on new borrowing is higher for the equilibrium[r] ...
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