Zobrazeno 1 - 6
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pro vyhledávání: '"HG0101"'
Autor:
Norman Seeger, Andreas Kaeck
Publikováno v:
European Journal of Operational Research, 283(2), 767-782. Elsevier
Kaeck, A & Seeger, N J 2020, ' VIX derivatives, hedging and vol-of-vol risk ', European Journal of Operational Research, vol. 283, no. 2, pp. 767-782 . https://doi.org/10.1016/j.ejor.2019.11.034
Kaeck, A & Seeger, N J 2020, ' VIX derivatives, hedging and vol-of-vol risk ', European Journal of Operational Research, vol. 283, no. 2, pp. 767-782 . https://doi.org/10.1016/j.ejor.2019.11.034
We study the empirical hedging performance of alternative VIX option pricing models. Recent advances in the literature find evidence of asymmetric volatility-of-volatility (similar to the leverage effect in equity markets), stochastic mean-reversion
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b65b52309a175d13e336d6700318bc8f
https://doi.org/10.1016/j.ejor.2019.11.034
https://doi.org/10.1016/j.ejor.2019.11.034
Autor:
Carol Alexander, Johannes Rauch
We classify all functions of multivariate stochastic processes having time-series estimates that are independent of data frequency. Such an estimator applied to high-frequency data may be used to infer properties of estimates relating to low-frequenc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::374a25be83b56d4ffa08f56e3629a531
http://sro.sussex.ac.uk/id/eprint/89186/1/EJOR_2020.pdf
http://sro.sussex.ac.uk/id/eprint/89186/1/EJOR_2020.pdf
In this paper we analyze the role of macroeconomic and financial determinants in explaining stock market volatilities in the U.S. market. Both implied and realized volatility are computed model-free and decomposed into positive and negative component
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5ac6b5963609633951062e952ea64fcf
http://sro.sussex.ac.uk/id/eprint/89688/1/SSRN-id3298720.pdf
http://sro.sussex.ac.uk/id/eprint/89688/1/SSRN-id3298720.pdf
Publikováno v:
BIRD: BCAM's Institutional Repository Data
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We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. However, scaling properties reported in the previous literature for other h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d9378f41d17f39dcaa97fbfe603e4104
https://hdl.handle.net/20.500.11824/927
https://hdl.handle.net/20.500.11824/927
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 526:121055
This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in recent periods
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b53920b7c4facf4f861eca3dea730f1f
https://doi.org/10.1016/j.physa.2019.121055
https://doi.org/10.1016/j.physa.2019.121055
The majority of quasi-analytic pricing methods for American options are efficient near maturity but are prone to larger errors when time-to-maturity increases. We introduce a new methodology to increase the accuracy of almost any existing quasi-analy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b3545561470c1fd041ad31a703276466
http://sro.sussex.ac.uk/id/eprint/89689/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_paper_Feb16-RR.pdf
http://sro.sussex.ac.uk/id/eprint/89689/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_paper_Feb16-RR.pdf