• No results found

[PDF] Top 20 Implied Volatility with Time Varying Regime Probabilities

Has 10000 "Implied Volatility with Time Varying Regime Probabilities" found on our website. Below are the top 20 most common "Implied Volatility with Time Varying Regime Probabilities".

Implied Volatility with Time Varying Regime Probabilities

Implied Volatility with Time Varying Regime Probabilities

... realized volatility, crediting this result to the use of high-frequency ...and implied volatil- ity both possess information that the other does not ...links volatility forecasting to the option ... See full document

25

Markov Switching Models with state dependent time varying transition probabilities

Markov Switching Models with state dependent time varying transition probabilities

... with time-varying transition prob- ability matrices in which the parameters associated with the latter are subject to random changes driven by an exogenous Markov ...the time series of interest and ... See full document

36

On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility

On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility

... shorter time horizon used in their study, which exactly precedes the October 1987 crash, where a regime shift ...Therefore, implied volatility is expected to be more biased before the crash ... See full document

32

Joint Modeling of Call and Put Implied Volatility

Joint Modeling of Call and Put Implied Volatility

... which regime the model is in: if the value of the random number exceeds the value of π, the mean equation for the second regime is ...random regime indicators, and estimated parameter ...this ... See full document

28

A New Factor to Explain Implied Volatility Smirk

A New Factor to Explain Implied Volatility Smirk

... and implied volatility slopes, and from a regulatory point of view it can be used to compute probabilities of trigger events, such as the probability of a stock price cross a determined bar- rier at ... See full document

24

Quasi Bayesian estimation of time varying volatility in DSGE models

Quasi Bayesian estimation of time varying volatility in DSGE models

... model’s volatility estimates are much smoother, as illustrated in Figure 1, while the SV-DSGE delivers more noisy and ragged ...that implied by the SV-DSGE model for output and investment growth for all ... See full document

10

Time varying volatility and returns on ordinary shares: An empirical investigation

Time varying volatility and returns on ordinary shares: An empirical investigation

... production, inflation, etc. ) and stock returns, and a set of k^ "unobservable" factors, f^^., which are assumed to be only correlated with the returns process, and, therefore, orthogonal to innovations in the ... See full document

204

Does the Implied Volatility Index Have  Signaling Power? Evidence from Mexico

Does the Implied Volatility Index Have Signaling Power? Evidence from Mexico

... In the way of Whaley [6], the relation between the VIX and SPX is asymmetric, so the VIX is an investors’ fear gauge in a market fall rather than an investors’ excitement gauge in a market rally. As a contrarian ... See full document

10

The Volatility Structure Implied by Options on the SPI Futures Contract

The Volatility Structure Implied by Options on the SPI Futures Contract

... constant volatility has been relaxed in the jump diffusion model (Merton 1976), stochastic volatility models (Hull & White 1987) and in time varying volatility estimation techniques ... See full document

16

Essays on Macroeconometrics

Essays on Macroeconometrics

... high volatility regime in RS(2)- DSGE and RS(4)-DSGE ...high volatility regimes for monetary shock are observed in the mid-1960s and in the beginning of ...high volatility regime for ... See full document

119

Forward implied volatility expansion in time-dependent local
          volatility models*,**,***

Forward implied volatility expansion in time-dependent local volatility models*,**,***

... in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are ...stochastic implied volatility depending on the value of the equity ... See full document

10

Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts

Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts

... in volatility is that speculators provide a stabilising influence on the foreign exchange ...sell volatility through currency options which are efficiently priced, then policy makers should worry less about ... See full document

28

Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility

Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility

... Realized Volatility (RV) and the Value-at-Risk (VaR) of the most liquid Russian stocks using GARCH, ARFIMA and HAR mod- els, including both the implied volatility computed from options prices and ... See full document

21

Modelling the dynamics of implied volatility smiles and surfaces

Modelling the dynamics of implied volatility smiles and surfaces

... The advantage of Derman and Kani's algorithm is that it provides the asset price evolution, and the transition probabilities by capturing both the term and the strike structure of implie[r] ... See full document

253

Analogy Making, Option Prices, and Implied Volatility

Analogy Making, Option Prices, and Implied Volatility

... Analogy making appears to be the key to the way we think. In this article, we investigate the implications of analogy making for option pricing. We put forward a new option pricing formula that we call the analogy option ... See full document

21

Analogy Making and the Structure of Implied Volatility Skew

Analogy Making and the Structure of Implied Volatility Skew

... Consider an investor in a two state-two asset complete market world with one time period marked by two points in time: 0 and 1. The two assets are a stock (S) and a risk-free zero coupon bond (B). The stock ... See full document

40

Time Varying Volatility Modeling of Pakistani and leading foreign stock markets

Time Varying Volatility Modeling of Pakistani and leading foreign stock markets

... the volatility of Pakistani and leading foreign stock ...of time varying volatility of stock ...for volatility modeling of Pakistani and leading foreign stock ... See full document

28

Forecasting global stock market implied volatility indices

Forecasting global stock market implied volatility indices

... the volatility forecasts that are produced by the GARCH and stochastic volatility models (Koopman et ...of volatility, the ARFIMA framework is suitable for estimating and forecasting the logarithmic ... See full document

46

Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment

Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment

... T time. That is equal to the price of the agreement. At this time, whether the long option position choose to execute the call option depends on whether the asset price ( S T ) of the T time scale is ... See full document

5

Properties of Time Varying Causality Tests in the Presence of Multivariate Stochastic Volatility

Properties of Time Varying Causality Tests in the Presence of Multivariate Stochastic Volatility

... While time-varying causality is significant for the precise analysis of variables, hete- roskedastic variances influence the tests for causality and nonlinearity such as time- varying ... See full document

13

Show all 10000 documents...