The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
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DOI: 10.1002/fut.21829
Abstract: We address an important yet unanswered question: What would be the economic determinants of the implied volatility during the zero lower bound periods? To answer this question, we examine time variations of the cap market… read more here.
Keywords: zero lower; implied volatility; volatility; markets zero ... See more keywords
Are There Gains from Using Information over the Surface of Implied Volatilities
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DOI: 10.1002/fut.21903
Abstract: We test the price discovery of the term structure of implied volatilities, and investigate its implications on the out-of-sample forecast of implied volatility. Both long-maturity and short-maturity options are important for the price discovery of… read more here.
Keywords: implied volatilities; information; implied volatility; sample forecast ... See more keywords
Carbon Emission Allowance and Oil Implied Volatility
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DOI: 10.1002/fut.22599
Abstract: This study develops a theoretical model to link carbon emission allowance (CEA) prices to oil implied volatility. The model identifies two channels: an explicit channel where rising CEA prices increase production costs, inventory, and option… read more here.
Keywords: implied volatility; cea prices; volatility; demand ... See more keywords
An examination of the REIT return–implied volatility relation: a frequency domain approach
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Economics and Finance"
DOI: 10.1007/s12197-016-9378-2
Abstract: This paper examines the relationship between implied volatility (the VIX) and REIT returns using frequency domain approach which allows shocks to vary across frequency bands. The distinguishing feature of the frequency domain method is that… read more here.
Keywords: volatility; frequency domain; reit returns; implied volatility ... See more keywords
Modelling the implied volatility surface based on Shanghai 50ETF options
Sign Up to like & getrecommendations! Published in 2017 at "Economic Modelling"
DOI: 10.1016/j.econmod.2017.04.009
Abstract: We develop a dynamic factor model to forecast the implied volatility surface (IVS) of Shanghai Stock Exchange 50ETF options. Based on the assumption that dynamic change in IVS is mean-reverting and Markovian, we use a… read more here.
Keywords: modelling implied; 50etf options; volatility surface; implied volatility ... See more keywords
Implied volatility and investor beliefs in experimental asset markets
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2019.02.001
Abstract: Investor expectations move markets so the ability to measure beliefs is critical for market participants. Though the volatility implied by traded option prices is a popular gauge of beliefs, our understanding of its usefulness is… read more here.
Keywords: volatility investor; implied volatility; investor beliefs; volatility ... See more keywords
Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach
Sign Up to like & getrecommendations! Published in 2019 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2019.06.001
Abstract: Abstract This paper investigates the predictive ability of the Unites States (US) volatility risk index toward the European and Asian volatility risk indexes, and vice versa. We use the Hammerstein-ARX approach to model dependency between… read more here.
Keywords: hammerstein arx; volatility risk; implied volatility; volatility ... See more keywords
News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Multinational Financial Management"
DOI: 10.1016/j.mulfin.2018.08.001
Abstract: Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the… read more here.
Keywords: news implied; stock bond; implied volatility;
Implied volatility curve: an empirical study on Chinese SSE 50 ETF options
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DOI: 10.1080/00036846.2024.2417850
Abstract: ABSTRACT This paper studies the determinants shaping the implied volatility curve of Chinese SSE 50 ETF options and the predictability of its patterns. Initially, the research examines the economic variables influencing the curve’s curvature. Our… read more here.
Keywords: sse etf; chinese sse; implied volatility; volatility ... See more keywords
On the seasonality in the implied volatility of electricity options
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DOI: 10.1080/14697688.2019.1582792
Abstract: Seasonality is an important topic in electricity markets, as both supply and demand are dependent on the time of the year. Clearly, the level of prices shows a seasonal behaviour, but not only this. Also,… read more here.
Keywords: seasonality implied; implied volatility; seasonality; electricity ... See more keywords
Parameter estimation in complementarity-constrained parabolic optimal control model: application to American option implied volatility
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DOI: 10.1088/1361-6420/ae18f3
Abstract: This paper addresses optimal control problems with parabolic complementarity constraints, characterized by non-convexity and nonlinearity. Motivated by the practical need for implied volatility calibration, we perform theoretical analysis and algorithmic design for this problem. Theoretically,… read more here.
Keywords: control; optimal control; parameter estimation; implied volatility ... See more keywords