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Filter probabilities of the low volatility regime

Implied Volatility with Time Varying Regime Probabilities

Implied Volatility with Time Varying Regime Probabilities

... The regime probability varies in time according to a regime ...implied volatility, the returns of the options’ underlying asset would work well as an indicator: a large change in the value of the ...

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Implied Volatility with Time-Varying Regime Probabilities

Implied Volatility with Time-Varying Regime Probabilities

... The regime probability varies in time according to a regime ...implied volatility, the returns of the options’ underlying asset would work well as an indicator: a large change in the value of the ...

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Estimating default probabilities for CDO's : a regime switching model

Estimating default probabilities for CDO's : a regime switching model

... the volatility, we run both programs with a flat volatility ...market volatility factor is 1, as in a low or mean volatile ...default probabilities up to 78 defaults out of ...

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The KOSPI200 Implied Volatility Index: Evidence of Regime Switches in Volatility Expectations *

The KOSPI200 Implied Volatility Index: Evidence of Regime Switches in Volatility Expectations *

... inferred probabilities for Model 1 Regime 1, that the regime of high volatility ex- pectations for the Korean market is prevalent mainly over the 1997~1998 ...of volatility expectations ...

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Beta Risk and Regime Shift in Market Volatility

Beta Risk and Regime Shift in Market Volatility

... the low, neutral and high volatility regimes and the security returns but the conditional model ...modelled volatility of the market portfolio return generating process as a Markov regime ...

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Options Pricing and Hedging in a Regime-Switching Volatility Model

Options Pricing and Hedging in a Regime-Switching Volatility Model

... and low state jump intensities were taken to be 99% in order for us to e ff ectively observe and analyse the di ff erences in option ...approaches, volatility tends to spike upwards, as illustrated in ...

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Could the Exchange Rate Regime Reduce Macroeconomic Volatility?

Could the Exchange Rate Regime Reduce Macroeconomic Volatility?

... trade volatility variable is not statistically ...real volatility by industrial production indexes implies to constraint the sample to a group of countries in which the productive structure is quite ...

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Regime-Switching Stochastic Volatility and Short-Term Interest Rates.

Regime-Switching Stochastic Volatility and Short-Term Interest Rates.

... single regime in the data. For instance, we can think of a high volatility regime during the periods cited above and a low volatility regime during rest of the ...additional ...

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On the robustness of international portfolio diversification benefits to regime-switching volatility

On the robustness of international portfolio diversification benefits to regime-switching volatility

... to regime switches in the volatility of common shocks, we now turn to the economic significance of our ...high-volatility regime with far greater frequency than the common shock for each ...

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Modeling the volatility of Mediterranean stock markets: a regime-switching approach

Modeling the volatility of Mediterranean stock markets: a regime-switching approach

... 4.3 Volatility behavior of Mediterranean stock markets across regimes Figure 1 plots the time-varying smoothed probabilities of high volatility state (left panel) and low volatility ...

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The low volatility puzzle : Norwegian evidence

The low volatility puzzle : Norwegian evidence

... idiosyncratic volatility and expected return, after mitigating the methodological issues raised by Miller and Scholes ...idiosyncratic volatility, (ii) the weighting schemes used to compute average ...

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International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility

International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility

... high-volatility regime with far greater frequency than the common shock for each corresponding ...turbulent regime and the persistence of the ...the low-volatility ...

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An Empirical Investigation into Exchange Rate Regime Choice and Exchange Rate Volatility

An Empirical Investigation into Exchange Rate Regime Choice and Exchange Rate Volatility

... Variance real GDP/inflation shocks home (VARGDPH/VARDCPIH) and target countries (VARGDPT/VARDCPIT) and the correlation between both real GDP/inflation shocks (CORGDP/CORDCPI) To construct an empirical measure for the ...

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An empirical study of the exchange rate volatility regime for carry trade investors

An empirical study of the exchange rate volatility regime for carry trade investors

... exchange volatility and VIX, and the bid-ask spread and the TED (Treasury Euro ...between low and high risk environment with a view to fully capturing or understanding the danger associated with carry ...

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Growth and volatility regime switching models for New Zealand GDP data

Growth and volatility regime switching models for New Zealand GDP data

... and volatility regimes present in the New Zealand data and their ...and volatility over ...and volatility regime switching between production ...and low volatility regimes during ...

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Flow Regime Based Climatologies of Lightning Probabilities for Spaceports and Airports

Flow Regime Based Climatologies of Lightning Probabilities for Spaceports and Airports

... The NWS in Tallahassee, Florida provided National Lightning Detection Network (NLDN) (Cummins et al. 1998) gridded data of CG lightning strikes in a 405 x 377 grid covering all of Fl[r] ...

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STOCK MARKET VOLATILITY AND REGIME SHIFTS IN RETURNS

STOCK MARKET VOLATILITY AND REGIME SHIFTS IN RETURNS

... the regime dummy variables are all significantly positive in this regression which means that volatility is higher whenever market returns deviate from the normal regime in either ...and ...

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Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic
            Volatility on Investments⋆⋆⋆

Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments⋆⋆⋆

... stochastic volatility that depends on an external factor modelled as a diffusion ...ruin probabilities, that recover the known bounds for constant volatility ...

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Exchange Rate Volatility in Post floating Regime in India

Exchange Rate Volatility in Post floating Regime in India

... appropriate regime remains unsettled, several attempts were made in the past in reaching some sort of operational suitability of those regimes to countries having varying initial conditions and readiness to ...

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Pricing and Hedging in Stochastic Volatility Regime Switching Models

Pricing and Hedging in Stochastic Volatility Regime Switching Models

... general regime switching stochastic volatility models where both the asset and the volatility dynamics de- pend on the values of a Markov jump ...stochastic volatility and the Markov ...

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