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; …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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) …