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 ...
For a semi-martingale Xt, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation 〈X, X〉t is constructed based on observations in the vicinity of Xt. The problem is ...
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 ...
Intercontinental Exchange Inc. has agreed to acquire several fixed-income volatility indices from Bank of America, including the Merrill Lynch Option Volatility Estimate (MOVE) index. Processing ...
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, ...
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.
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