Forecasting volatility in financial markets: A review
SH Poon, CWJ Granger - Journal of economic literature, 2003 - aeaweb.org
Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …
market regulation. The emphasis of this review article is on forecasting instead of modelling; …
Knowledge mapping of model risk in banking
For years, bank management has relied on mathematical, statistical and financial models,
which increasingly expose banks to model risk. The latter is also extended by the …
which increasingly expose banks to model risk. The latter is also extended by the …
Volatility in international stock markets: An empirical study during COVID-19
Predicting volatility is a must in the finance domain. Estimations of volatility, along with the
central tendency, permit us to evaluate the chances of getting a particular result. Financial …
central tendency, permit us to evaluate the chances of getting a particular result. Financial …
COVID-19 pandemic & financial market volatility; evidence from GARCH models
Across the globe, COVID-19 has disrupted the financial markets, making them more volatile.
Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR …
Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR …
Impact of COVID-19 pandemic on the energy markets
I Shaikh - Economic Change and Restructuring, 2022 - Springer
This article aims to uncover the effects of the COVID-19 pandemic on the energy markets in
terms of energy stock indexes, energy futures, ETFs, and implied volatility indexes. We …
terms of energy stock indexes, energy futures, ETFs, and implied volatility indexes. We …
[图书][B] Stochastic modelling and applied probability
A Board - 2005 - Springer
During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …
book, considerable progress was achieved in the area of financial modelling and pricing of …
Does net buying pressure affect the shape of implied volatility functions?
NPB Bollen, RE Whaley - The Journal of Finance, 2004 - Wiley Online Library
This paper examines the relation between net buying pressure and the shape of the implied
volatility function (IVF) for index and individual stock options. We find that changes in implied …
volatility function (IVF) for index and individual stock options. We find that changes in implied …
[图书][B] A behavioral approach to asset pricing
H Shefrin - 2008 - books.google.com
Behavioral finance is the study of how psychology affects financial decision making and
financial markets. It is increasingly becoming the common way of understanding investor …
financial markets. It is increasingly becoming the common way of understanding investor …
Cross-section of option returns and volatility
We study the cross-section of stock option returns by sorting stocks on the difference
between historical realized volatility and at-the-money implied volatility. We find that a zero …
between historical realized volatility and at-the-money implied volatility. We find that a zero …
Investor sentiment and option prices
B Han - The Review of Financial Studies, 2008 - academic.oup.com
This paper examines whether investor sentiment about the stock market affects prices of the
S&P 500 options. The findings reveal that the index option volatility smile is steeper (flatter) …
S&P 500 options. The findings reveal that the index option volatility smile is steeper (flatter) …