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Influence of Process Models on Requirement Volatility, and Strategies for its Management: An Empirical Investigation
(Centro Latinoamericano de Estudios en Informática, 2011)
Volatility modelling in the forex market: an empirical evaluation
(Escola de Pós-Graduação em Economia da FGV, 1999-10)
We compare three frequently used volatility modelling techniques: GARCH, Markovian switching and cumulative daily volatility models. Our primary goal is to highlight a practical and systematic way to measure the relative ...
Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach
(Escola de Pós-Graduação em Economia da FGV, 2004-06-03)
The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe ...
Option pricing under multiscale stochastic volatility
(2015)
The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...
The calibration of stochastic local-volatility models: an inverse problem perspective
(Elsevier, 2019)
We tackle the calibration of the Stochastic Local-Volatility (SLV) model. This is the class of financial models that combines the local volatility and stochastic volatility features and has been subject of the attention ...
Reality check for volatility models
(Escola de Pós-Graduação em Economia da FGV, 2001-09-27)
Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type ...
Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
(Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2021)
Comparing volatility forecasting models during the global financial crisis
(Universidade Federal de Minas GeraisBrasilFCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVASICX - DEPARTAMENTO DE ESTATÍSTICAUFMG, 2016)
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
(Routledge, 2018)
A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al [Multiscale Stochastic Volatility for Equity, ...
Testing the hypothesis of contagion using multivariate volatility models
(Sociedade Brasileira de Econometria, 2008-11-01)
The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ...