Volatility
National Institutes of Health
Papers overview
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We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high-frequency…
In financial markets, the variance of stock returns plays an important role to reduce a risk, and daily volatility is often used…
Each year, RMA resets the Projected Prices (PP) and Implied Volatility Factors (IV) that are used in the determination of crop…
In this paper the variance in the residuals of the market model or downside market model is time-varying and has an association…
When the observed price process is the true underlying price process
plus microstructure noise, it is known that realized…
The paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model…
We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high-frequency…