Volatility Measures and Jumps
The Impact of Jumps and Leverage in Forecasting Co-Volatility
... to jumps; (ii) robustness to microstructure noise caused by, for example, the bid-ask bounce; (iii) ability to handle asynchronicity of the times at which transactions are recorded; and (iv) the estimated ...
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
... to jumps; (ii) robustness to microstructure noise caused by, for example, the bid-ask bounce; (iii) ability to handle asynchronicity of the times at which transactions are recorded; and (iv) the estimated ...
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Forecasting Exchange Rate Volatility in the Presence of Jumps
... alternative volatility measures from the two separate data segments: The return based measures, ...realized volatility and its continuous and jump components from high-frequency $/DM exchange ...
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The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices
... alternative volatility measures from the separate data segments: Realized volatility and its continuous and jump components from high-frequency index returns, and implied volatility from ...
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Oil shocks and volatility jumps
... different measures of oil shocks used by different agents in the economy to make their decisions, it is likely to have potentially important implications for understanding and modeling the transmission of oil ...
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Disentangling Volatility from Jumps
... two jumps) evaluated at z = u∆ 1/2 ¡ σ 2 + (β 2 + η)λ ¢ 1/2 , so u measures the size of the log-return observed in terms of number of standard deviations away from the mean, at the same parameter values as ...
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Trading activity, realized volatility and jumps
... realized volatility (RV ) and its continuous component (C9999) on various trade measures, ...between jumps and trading activity. We instead run Tobit regressions since jumps have values ...
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Volatility Forecasting: The Jumps Do Matter
... dividing volatility into jumps and continuous variation yields a substantial improve- ment in volatility forecasting, because of the positive impact of past jumps on future ...samples, ...
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Volatility forecasting: the jumps do matter
... dividing volatility into jumps and continuous variation yields a substantial improve- ment in volatility forecasting, because of the positive impact of past jumps on future ...samples, ...
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On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
... martingale measures, and the minimum entropy martingale measure for stochastic volatility models of the Ornstein–Uhlenbeck type as introduced by Barndorff-Nielsen and ...with jumps both in the ...
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The Information Content of Financial Textual Data: Creating News Measures for Volatility Modeling and for the Analysis of Price Jumps
... stock jumps are associated with prescheduled earnings announcements and other company-specific news events, while S&P 500 jumps are in- stead associated with general market news ...between jumps ...
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MEAN-VARIANCE HEDGING WITH RANDOM VOLATILITY JUMPS
... 4. Volatility jumps and Random Measures Although most markets models considered in the literature can be embedded in a framework consistent with Theorem ...distributed jumps in ...
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Stock Volatility Modelling with Augmented GARCH Model with Jumps
... RavenPack News Scores measures the news sentiment and news flow of the global equity market based on all major investable equity securities. News scores in- clude analytics on more than 27,000 companies in 83 ...
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Price jumps and volatility in U.S. agricultural futures markets
... during jumps by presenting the behavior of the bid- ask spread and trading volume in the minutes preceding and following jumps on announcement and non-announcement ...Liquidity measures are compared ...
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Essays in finance: wrong-way risk, jumps and stochastic volatility
... by jumps and drying up ...between jumps and liquidity in chapter ...of jumps of stocks by investigating stock liquidity as a possible ...different measures for liquidity, the relative bid-ask ...
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Corporate credit risk prediction under stochastic volatility and jumps
... two measures convey the same information, but the former is better to show how much time-variation of the actual spreads has been explained by the model predicted ...asset volatility and ...time-varying ...
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On the valuation of barrier and American options in local volatility models with jumps
... These are all features that can be captured by processes contained in the class of local volatility models with jumps. In this thesis two solution methods for the posed problems are presented: Firstly, a ...
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The relationship between the volatility of returns and the number of jumps in financial markets
... between volatility and the jumps in ...of jumps within a trading day helps to explain and forecast future ...of jumps has been used as a measure of jump activity to explain and forecast the ...
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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
... All measures of pricing errors consistently substantiate superiority of JD and VG models over BS model as ...stochastic volatility models with finite/infinite activity of Lévy jump models have similar ...
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Volatility Jumps. April 12, 2010
... about jumps, both large and small, than do daily data, which is a major ...to volatility, it provides far more information on volatility than does the financial price series ...of volatility, ...
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