Related papers: On the difference between the volatility swap stri…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
We investigate the predictability of several range-based stock volatility estimators, and compare them to the standard close-to-close estimator which is most commonly acknowledged as the volatility. The patterns of volatility changes are…
Stochastic integration \textit{wrt} Gaussian processes has raised strong interest in recent years, motivated in particular by its applications in Internet traffic modeling, biomedicine and finance. The aim of this work is to define and…
Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but also reward model fit. In this note, we modify the stochastic…
This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate It\^o semimartingales, in high-frequency and noisy setting. Pre-averaging and truncation enable simultaneous handling of noise and…
We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realized estimator by Barndorff-Nielsen and Veraart (2009). Our…
An extensive empirical literature documents a generally negative correlation, named the "leverage effect," between asset returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps…
We study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 and January 15, 2015 when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. Based on the…
The influence of the past price behaviour on the realized volatility is investigated in the present article. The results show that trending (drifting) prices lead to increased (decreased) realized volatility. This ``volatility induced by…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle. We provide numerical results along with efficient and…
Research has shown banks match interest income and expense betas, and thereby obtain net interest income margins which are insensitive to changes in short-term interest rates. The present analysis extends this research in a number of ways.…
By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation…
We introduce an asymptotic small noise expansion, a so called vol-of-vol expansion, for potentially infinite dimensional and rough stochastic volatility models. Thereby we extend the scope of existing results for finite dimensional models…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Black-Scholes equation. In addition, it proposes a trading…
In this paper, we present analytical proof demonstrating that the Sandwiched Volterra Volatility (SVV) model is able to reproduce the power-law behavior of the at-the-money implied volatility skew, provided the correct choice of the…
In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is consistent for the integrated variance and we present…