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Volatility

VOLATILITY AS AN ASSET CLASS

2/11 INTRODUCTION Volatility has become a key word of the recent financial crisis with realised volatilities of asset prices soaring and volatilities implied by option prices as measured by volatilities indices such as the EURO STOXX 50 Volatility Index (VSTOXX), VDAX or VSMI reaching ...

Volatility, Leverage and Returns

Jan Loeys* (44-20) 7325-5473 jan.loeys@jpmorgan.com Nikolaos Panigirtzoglou (44-20) 7777-0386 nikolaos.panigirtzoglou@jpmorgan.com www.morganmarkets.com Volatility, Leverage and Returns Global Market Strategy J.P. Morgan Securities Ltd. London October 19, 2005 The certifying analyst is indicated ...

Realized Stock Volatility

Chapter2 Realized Stock Volatility 2.1 Introduction Financial market volatility is indispensable for asset and derivative pricing, asset allocation, and risk management.

Markov Switching in GARCH Processes and Mean Reverting Stock ...

Markov Switching in GARCH Processes and Mean Reverting Stock Market Volatility MichaelJ. Dueker Federal Reserve Bank of St. Louis P.O. Box 442St. Louis, MO 63166 Abstract This paper introduces four models of conditional heteroscedasticity that containmarkov switching parameters to examine their ...

WHAT GOOD IS A VOLATILITY MODEL ?*

W HAT G OOD IS A V OLATILITY M ODEL ? * Robert F. Engle and Andrew J. Patton Department of Finance, NYU Stern School of Business, and Department of Economics, University of California, San Diego, 9500 Gilman Drive, La Jolla, CA 92093-0508, USA 29 January, 2001.

The Volatility Premium

The Volatility Premium Bj¿rn Erake r ⁄ June 17,2008 Abstract Implied option volatility averages about 19%per year, while the unconditional return volatility is only about 16%.

The Effect of High-Frequency Trading on Stock Volatility and ...

The Effect of High-Frequency Trading on Stock Volatility and Price Discovery X. Frank Zhang Yale University School of Management (203) 432-7938 frank.zhang@yale.edu November 2010 I received many helpful comments from Nicholas Barberis, Bill Beaver, Martijn Cremers, Terry Hendershott, Jonathan ...

Volatility and Risk In Electricity Price Forecasting

LCG Consulting 1 www.EnergyOnline.com March 2000 (650) 962-9670 A Case Study Using an MMOPF Model 1 Rajat Deb, Richard Albert, Lie-Long Hsue and Nicholas Brown 2 LCG Consulting Introduction Prior to deregulation and FERC Order 888, forecasts of electricity prices were mainly used for ratemaking ...

Stochastic Volatility Models: Past, Present and Future

STOCHASTIC VOLATILITY MODELS : PAST , PRESENT AND FUTURE Stochastic Volatility Models: Past, Present and Future

Volatility and Correlation Forecasting*

Volatility and Correlation Forecasting * Torben G. Andersen a, Tim Bollerslev b, Peter F. Christoffersen c and Francis X. Diebold d June 16, 2005 _____ * This paper is prepared for the forthcoming Handbook of Economic Forecasting edited by Graham Elliott, Clive W.J. Granger, and Allan Timmermann ...