Executive Summary.Volatility estimation is an integral part of institutional finance with applications in risk management and portfolio allocation. Real estate investment trust volatility is examined ...

In this paper, we consider the deterministic trend model where the error process is allowed to be weakly or strongly correlated and subject to non-stationary ...

Although intraday volatility has been studied extensively for many asset classes, there are still important questions to be answered: Is the unconditional mean diurnal profile time-invariant? Does ...

Implied volatility (IV) is a market's forecast that is often used to help traders determine the correct trading strategies ...

Machine learning (ML) in asset management is an increasingly popular domain. Many studies and asset managers focus on forecasting returns with machine learning models to form investment portfolios ...

Realized Volatility is a key financial metric that measures the historical price fluctuations of an asset, typically a stock, currency, or commodity, over a specific period. Unlike implied volatility, ...

Implied volatility is a powerful but often misunderstood metric that plays a major role in options trading. Implied volatility doesn’t tell you what’s going to happen to an option’s price, but it ...

ATLANTA & NEW YORK--(BUSINESS WIRE)-- Intercontinental Exchange, Inc. (NYSE: ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, today ...

A common narrative to global markets is that volatility has massively increased. Market participants like to claim a new regime of increased volatility with each and every new negative macro event.