scholarly journals Uncertainty across volatility regimes

2018 ◽  
Vol 34 (3) ◽  
pp. 437-455 ◽  
Author(s):  
Giovanni Angelini ◽  
Emanuele Bacchiocchi ◽  
Giovanni Caggiano ◽  
Luca Fanelli
Keyword(s):  
Volatility Regimes

The Role of Volatility Regimes on Volatility Transmission Patterns

2011 ◽  
Author(s):  
Enrique Salvador ◽  
Nikos K. Nomikos
Keyword(s):  
Volatility Transmission ◽  
Volatility Regimes

Volatility Regimes and the Provision of Liquidity in Order Book Markets

2004 ◽  
Author(s):  
Helena M. Beltran-Lopez ◽  
Alain C. J. Durré ◽  
Pierre Giot
Keyword(s):  
Order Book ◽  
Volatility Regimes ◽  
Book Markets

Growth from International Capital Flows: The Role of Volatility Regimes

2011 ◽  
Author(s):  
Ashoka Mody ◽  
Antu Panini Murshid
Keyword(s):  
Capital Flows ◽  
International Capital Flows ◽  
International Capital ◽  
Volatility Regimes

Finite maturity American-style stock loans with regime-switching volatility

2021 ◽  
Vol 63 ◽  
pp. 163-177
Author(s):  
Xiaoping Lu ◽  
Endah R. M. Putri
Keyword(s):  
Regime Switching ◽  
Numerical Experiments ◽  
State Regime ◽  
Volatility Regimes ◽  
American Style

We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters. doi:10.1017/S1446181121000250

scholarly journals The January effect across volatility regimes

2011 ◽  
Vol 11 (6) ◽  
pp. 947-953 ◽  
Author(s):  
Betty Agnani ◽  
Henry Aray
Keyword(s):  
January Effect ◽  
Volatility Regimes

Does the Financial Leverage Effect Depend on Volatility Regimes?

2020 ◽  
pp. 101600
Author(s):  
Sora Chon ◽  
Jaeho Kim
Keyword(s):  
Leverage Effect ◽  
Financial Leverage ◽  
Volatility Regimes

INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES

2010 ◽  
Vol 78 ◽  
pp. 114-134 ◽  
Author(s):  
SAYAT R. BARONYAN ◽  
İ. İLKAY BODUROĞLU ◽  
EMRAH ŞENER
Keyword(s):  
Trading Strategies ◽  
Pairs Trading ◽  
Volatility Regimes

Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext

2009 ◽  
Vol 20 (1) ◽  
pp. 80-97 ◽  
Author(s):  
Helena Beltran ◽  
Alain Durré ◽  
Pierre Giot
Keyword(s):  
Order Book ◽  
Volatility Regimes

scholarly journals Regime-Dependent Good and Bad Volatility of Bitcoin

2020 ◽  
Vol 13 (12) ◽  
pp. 312
Author(s):  
Kislay Kumar Jha ◽  
Dirk G. Baur
Keyword(s):  
Stock Markets ◽  
High Frequency ◽  
Realized Volatility ◽  
Forecast Horizon ◽  
Volatility Asymmetry ◽  
Volatility Regimes ◽  
The Asymmetry

This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a stronger impact on future volatility than bad volatility on average and in extreme volatility regimes but not across all quantiles and volatility regimes. For 7-day ahead forecasting horizons the asymmetry is similar to that observed in stock markets and becomes stronger with increasing volatility. Compared with stock markets, the persistence and predictability of volatility is low indicating high variations of volatility.

Sign in / Sign up

Export Citation Format

Share Document