We study which variables can explain and predict the return, volatility and trading volume of
Bitcoin. The considered variables are return, volatility, trading volume, transaction volume …

This chapter surveys the methods available for extracting information from option prices that
can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and …

This paper aims to explore the impact of war attention on stock volatility predictability by
constructing a new war attention index and employing an extended GARCH-MIDAS-ES …

This article provides an overview of empirical options research, with primary emphasis on
research into systematic stochastic volatility and jump risks relevant for pricing stock index …

Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …

Since Bitcoin price is highly volatile, forecasting its volatility is crucial for many applications,
such as risk management or hedging. We study which model is the most suitable for …

We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX
index returns and option prices and analyze the contribution of VIX options to the model's in …

This paper provides an optimal filtering methodology in discretely observed continuous-time
jump-diffusion models. Although the filtering problem has received little attention, it is useful …

In financial engineering, portfolio optimization has been of consistent interest. Portfolio
optimization is a process of modulating asset distributions to maximize expected returns and …

We show that market volatility of volatility is a significant risk factor that affects index and
volatility index option returns, beyond volatility itself. The volatility and volatility of volatility …