Volatility Shocks and Currency Returns
Fuente:
arXiv
Saved in:
| Main Authors: | Babiak, Mykola, Barunik, Jozef |
|---|---|
| Format: | Preprint |
| Published: |
2021
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Risks of heterogeneously persistent higher moments
by: Barunik, Jozef, et al.
Published: (2021)
by: Barunik, Jozef, et al.
Published: (2021)
Common Idiosyncratic Quantile Factors and Asset Prices
by: Barunik, Jozef, et al.
Published: (2022)
by: Barunik, Jozef, et al.
Published: (2022)
Deep Learning, Predictability, and Optimal Portfolio Returns
by: Babiak, Mykola, et al.
Published: (2020)
by: Babiak, Mykola, et al.
Published: (2020)
Skewness Dispersion and Stock Market Returns
by: Babiak, Mykola, et al.
Published: (2026)
by: Babiak, Mykola, et al.
Published: (2026)
An Explicit Solution to Black-Scholes Implied Volatility
by: Schadner, Wolfgang
Published: (2026)
by: Schadner, Wolfgang
Published: (2026)
Fundamentals of Perpetual Futures
by: He, Songrun, et al.
Published: (2022)
by: He, Songrun, et al.
Published: (2022)
Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data
by: Serafini, Simone, et al.
Published: (2025)
by: Serafini, Simone, et al.
Published: (2025)
The Endogenous Constraint: Hysteresis, Stagflation, and the Structural Inhibition of Monetary Velocity in the Bitcoin Network (2016-2025)
by: Soleimani, Hamoon
Published: (2025)
by: Soleimani, Hamoon
Published: (2025)
Crypto Pricing with Hidden Factors
by: Brigida, Matthew
Published: (2026)
by: Brigida, Matthew
Published: (2026)
Fair sharing ratios of Profit and Loss sharing contracts
by: Sagna, Abass
Published: (2025)
by: Sagna, Abass
Published: (2025)
Expressions of Market-Based Correlations Between Prices and Returns of Two Assets
by: Olkhov, Victor
Published: (2024)
by: Olkhov, Victor
Published: (2024)
An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
by: Wu, Keyuan, et al.
Published: (2025)
by: Wu, Keyuan, et al.
Published: (2025)
HJM Local Volatility Model
by: Belyaev, V. M.
Published: (2023)
by: Belyaev, V. M.
Published: (2023)
Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
by: Cheng, Liexin, et al.
Published: (2024)
by: Cheng, Liexin, et al.
Published: (2024)
Faster Monotone Implied Volatility Solver
by: Floc'h, Fabien Le
Published: (2026)
by: Floc'h, Fabien Le
Published: (2026)
Small Volatility Approximation and Multi-Factor HJM Models
by: Belyaev, V. M.
Published: (2025)
by: Belyaev, V. M.
Published: (2025)
Explicit Rational Formulae for Bachelier (Normal) Implied Volatility
by: Floc'h, Fabien Le
Published: (2026)
by: Floc'h, Fabien Le
Published: (2026)
Multi-asset and generalised Local Volatility. An efficient implementation
by: Deloire, Olivier, et al.
Published: (2024)
by: Deloire, Olivier, et al.
Published: (2024)
Three Remarks On Asset Pricing
by: Olkhov, Victor
Published: (2021)
by: Olkhov, Victor
Published: (2021)
Multiplicative Langevin Process for Volatilities Produces Observed Q-Variance Regularities
by: Press, William H., et al.
Published: (2026)
by: Press, William H., et al.
Published: (2026)
Market-Based Asset Price Probability
by: Olkhov, Victor
Published: (2022)
by: Olkhov, Victor
Published: (2022)
Efficient Hamiltonian Simulation for Solving Option Price Dynamics
by: Gonzalez-Conde, Javier, et al.
Published: (2021)
by: Gonzalez-Conde, Javier, et al.
Published: (2021)
Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI
by: Huang, Allen Yikuan, et al.
Published: (2026)
by: Huang, Allen Yikuan, et al.
Published: (2026)
Market-Based Price Autocorrelation
by: Olkhov, Victor
Published: (2022)
by: Olkhov, Victor
Published: (2022)
Volatility models in practice: Rough, Path-dependent or Markovian?
by: Jaber, Eduardo Abi, et al.
Published: (2024)
by: Jaber, Eduardo Abi, et al.
Published: (2024)
Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
by: Liu, Yuhao, et al.
Published: (2025)
by: Liu, Yuhao, et al.
Published: (2025)
Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
by: Ter-Avanesov, Boris, et al.
Published: (2024)
by: Ter-Avanesov, Boris, et al.
Published: (2024)
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
by: Abbas-Turki, Lokman A, et al.
Published: (2026)
by: Abbas-Turki, Lokman A, et al.
Published: (2026)
Time Instability of the Fama-French Multifactor Models: An International Evidence
by: Moriya, Koichiro, et al.
Published: (2022)
by: Moriya, Koichiro, et al.
Published: (2022)
Information Leakages in the Green Bond Market
by: Shannon, Darren, et al.
Published: (2025)
by: Shannon, Darren, et al.
Published: (2025)
Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943
by: Morimoto, Keiichi, et al.
Published: (2026)
by: Morimoto, Keiichi, et al.
Published: (2026)
A Taxonomy of Event-Linked Perpetual Futures: Variant Designs Beyond the Single-Market Binary Case
by: Nechepurenko, Maksym
Published: (2026)
by: Nechepurenko, Maksym
Published: (2026)
Heterogeneous Beliefs Model of Stock Market Predictability
by: Park, Jiho
Published: (2024)
by: Park, Jiho
Published: (2024)
Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
by: Guillaume, Tristan
Published: (2026)
by: Guillaume, Tristan
Published: (2026)
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
by: Mensah, Abigail Anokyewaa, et al.
Published: (2026)
by: Mensah, Abigail Anokyewaa, et al.
Published: (2026)
Volatility Depends on Market Trades and Macro Theory
by: Olkhov, Victor
Published: (2020)
by: Olkhov, Victor
Published: (2020)
Market-Based Portfolio Variance
by: Olkhov, Victor
Published: (2025)
by: Olkhov, Victor
Published: (2025)
Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions
by: Olkhov, Victor
Published: (2023)
by: Olkhov, Victor
Published: (2023)
Sovereign Debt Default and Climate Risk
by: Barucci, Emilio, et al.
Published: (2025)
by: Barucci, Emilio, et al.
Published: (2025)
Evaluating Investment Risks in LATAM AI Startups: Ranking of Investment Potential and Framework for Valuation
by: Ramos-Torres, Abraham, et al.
Published: (2024)
by: Ramos-Torres, Abraham, et al.
Published: (2024)
Similar Items
-
Risks of heterogeneously persistent higher moments
by: Barunik, Jozef, et al.
Published: (2021) -
Common Idiosyncratic Quantile Factors and Asset Prices
by: Barunik, Jozef, et al.
Published: (2022) -
Deep Learning, Predictability, and Optimal Portfolio Returns
by: Babiak, Mykola, et al.
Published: (2020) -
Skewness Dispersion and Stock Market Returns
by: Babiak, Mykola, et al.
Published: (2026) -
An Explicit Solution to Black-Scholes Implied Volatility
by: Schadner, Wolfgang
Published: (2026)