Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling
We first propose a reduced-form model in discrete time for S&P 500 volatility showing that
the forecasting performance can be significantly improved by introducing a persistent …
the forecasting performance can be significantly improved by introducing a persistent …
Pricing cryptocurrency options
Abstract Cryptocurrencies (CCs), especially bitcoin (BTC), which comprises a new digital
asset class, have drawn extraordinary worldwide attention. The characteristics of the …
asset class, have drawn extraordinary worldwide attention. The characteristics of the …
Downside variance risk premium
We propose a new decomposition of the variance risk premium (VRP) in terms of upside and
downside VRP s. These components reflect market compensation for changes in good and …
downside VRP s. These components reflect market compensation for changes in good and …
Using deep learning for price prediction by exploiting stationary limit order book features
The recent surge in Deep Learning (DL) research of the past decade has successfully
provided solution to many difficult problems. The field of Quantitative analysis has been …
provided solution to many difficult problems. The field of Quantitative analysis has been …
[HTML][HTML] A GMM approach to estimate the roughness of stochastic volatility
We develop a GMM approach for estimation of log-normal stochastic volatility models driven
by a fractional Brownian motion with unrestricted Hurst exponent. We show that a parameter …
by a fractional Brownian motion with unrestricted Hurst exponent. We show that a parameter …
An oil futures volatility forecast perspective on the selection of high-frequency jump tests
This paper examines the forecasting performances of high-frequency jump tests for oil
futures volatility from a comprehensive perspective. It contributes to the literature by …
futures volatility from a comprehensive perspective. It contributes to the literature by …
Exploring return dynamics via corridor implied volatility
Some fundamental questions regarding equity-index return dynamics are difficult to address
due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a …
due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a …
Forecasting realized volatility: New evidence from time‐varying jumps in VIX
Given that jumps in the implied volatility index (VIX) lead to rapid changes in the level of
volatility, they may contain significant predictive information for the realized variance (RV) of …
volatility, they may contain significant predictive information for the realized variance (RV) of …
Systemic co-jumps
The simultaneous occurrence of jumps in several stocks can be associated with major
financial news, triggers short-term predictability in stock returns, is correlated with sudden …
financial news, triggers short-term predictability in stock returns, is correlated with sudden …
Time-varying leverage effects
Vast empirical evidence points to the existence of a negative correlation, named” leverage
effect”, between shocks to variance and shocks to returns. We provide a nonparametric …
effect”, between shocks to variance and shocks to returns. We provide a nonparametric …