Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 1465 for “"volatility"”.
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Rough volatility models
So-called rough stochastic volatility models constitute the latest advancement in option price modeling. In contrast to popular bivariate diffusion models such as Heston, here the driving noise of volatility is modeled by a fractional Brownian motion (fBM) with scaling in the rough regime of Hurst …
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Realised volatility estimators
… dissertation is an investigation into realised volatility (RV) estimators. Here, RV is defined as the sum-of-squared-returns (SSR) and is a proxy for integrated volatility (IV), which is unobservable. The study focuses on a subset of the universe of RV estimators. We examine three categories of …
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Break-Even Volatility
… dynamically hedged option depends on the implied volatility used to price the option and implement the hedges. Break-even volatility is a method of solving for the volatility which yields no profit or loss based on replicating the hedging procedure of an option on a historical share price time …
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Fuel volatility modeling
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 1994.
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U.S. Housing Market Volatility
… the determinants of U.S. housing market volatility. With volatility defined as the sample variance of home value monthly returns during a given quarter, a model of volatility from equilibrium in the housing market is derived. Supply and demand effects on housing return volatility for the …
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Essays in volatility research
… in this thesis on Realized Skewness, Asymmetric Volatility and Risk Management which is co-authored with my supervisor and was influenced by my time spent in Amsterdam. The next paper, asymmetric dynamics in index volatility and constituent correlation was my first work after completing my M.Sc. …
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Essays on Volatility Forecasting
… method that is tailored specifically for volatility. We then apply convolution neural network models on the transformed volatility images and find the forecasting performance is significantly better than both the econometrics and machine learning benchmark models in classification and …
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Generalized Volatility-Stabilized Processes
… diffusion processes which we call Generalized Volatility-Stabilized processes, as they extend the Volatility-Stabilized Market models introduced in Fernholz and Karatzas (2005). First, we show how to construct a weak solution of the underlying system of stochastic differential equations. In …
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Essays in volatility modelling
… mainly concerns some novel developments in volatility modelling. We first derive the diffusion limits of two recently proposed (discrete time) volatility models. Subsequently, we propose a new model that allows for conditional heteroskedasticity in the volatility of asset returns and …
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Modelling illiquid volatility skews
… strike levels, forming the associated implied volatility skew of the respective market under consideration. This, however, is not always feasible when it comes to the individual stocks within the market, as single stock options trade a lot less frequently. This dissertation makes use of data …
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Essays on macroeconomic volatility
… essays on different aspects of macroeconomic volatility. The first essay provides evidence of a causal and economically important relation between financial development and macroeconomic volatility by looking at the effect of financial development in the volatility of sectors with different …
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Forecasting Oil Price Volatility
… compares different methods of forecasting price volatility in the crude oil futures market using daily data for the period November 1986 through March 1997. It compares the forward-looking implied volatility measure with two backward-looking time-series measures based on past returns - a simple …
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Impacts of Volatility Spillovers, Economic Volatility and Capital Inflows on Mortgage-backed Financial Markets
… of mortgage-backed stock returns and their volatility spillovers within the framework of time-varying symmetric, asymmetric and multivariate GARCH-family models. The focus of the chapter is on the dynamics of volatility of the U.S. real estate investment trusts (REITs) and volatility …
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Predicting price volatility crytocurrency ethereum
Volatility is essential when trading or investing in cryptocurrency Ethereum. Over the years, investors, traders and investment banks have found it difficult to predict the price volatility of Ethereumdue to its rapid price fluctuation. This report focuses on forecasting the price volatility of …
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Multiscale analysis of financial volatility
This thesis is concerned with the modeling of financial time series data. It introduces to the economics literature a set of techniques for this purpose that are rooted in engineering and physics, but almost unheard of in economics. The key feature of these techniques is that they combine the …
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Forecasting volatility in Canadian markets
… Ederington (1998) to Canadian data. Historical volatility is estimated then forecast to examine the comparative performance of various time series models in forecasting volatility. Statistically significant regressions were provided that showed that forecasts of volatility produced low forecast …
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Economic Policies, Volatility and Development
… to understand how economic policies and output volatility of countries depend on their level of development. Chapter 1 presents a general introduction, with the motivation and main results of the project. Chapter 2 introduces the main theoretical piece: a model that explains endogenous limited …
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On Volatility, Outliers, and Uncertainty
… different manner during periods of low volatility versus periods of high volatility. I achieve this by measuring non-linearities in relationship between the SP 500 and the VIX across different market regimes. Three distinct market regimes are identified through a Markov Process, allowing …
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Low volatility alternative equity indices
… been an increasing interest in constructing low volatility portfolios. These portfolios have shown significant outperformance when compared with the market capitalization-weighted portfolios. This study analyses the low volatility portfolios in South Africa using sectors instead of individual …
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