The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Futures Markets"
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
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
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
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;
On the seasonality in the implied volatility of electricity options
Sign Up to like & getrecommendations! Published in 2019 at "Quantitative Finance"
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
The Application of Symbolic Regression on Identifying Implied Volatility Surface
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DOI: 10.3390/math11092108
Abstract: One important parameter in the Black–Scholes option pricing model is the implied volatility. Implied volatility surface (IVS) is an important concept in finance that describes the variation of implied volatility across option strike price and… read more here.
Keywords: implied volatility; volatility; symbolic regression; volatility surface ... See more keywords
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II
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DOI: 10.3390/risks7010030
Abstract: This paper explores the stochastic collocation technique, applied on a monotonic spline, as an arbitrage-free and model-free interpolation of implied volatilities. We explore various spline formulations, including B-spline representations. We explain how to calibrate the… read more here.
Keywords: model free; implied volatility; stochastic collocation; arbitrage free ... See more keywords
Approximation Formula for Option Prices under Rough Heston Model and Short-Time Implied Volatility Behavior
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DOI: 10.3390/sym12111878
Abstract: Rough Heston model possesses some stylized facts that can be used to describe the stock market, i.e., markets are highly endogenous, no statistical arbitrage mechanism, liquidity asymmetry for buy and sell order, and the presence… read more here.
Keywords: option prices; implied volatility; option; rough heston ... See more keywords