Using interpolated implied volatility for analysing exogenous market changes
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F24%3A10490152" target="_blank" >RIV/00216208:11320/24:10490152 - isvavai.cz</a>
Výsledek na webu
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=uV4YQB3I6Q" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=uV4YQB3I6Q</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10287-024-00505-2" target="_blank" >10.1007/s10287-024-00505-2</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Using interpolated implied volatility for analysing exogenous market changes
Popis výsledku v původním jazyce
This paper focuses on market changes due to exogenous effects. The standard implied volatility is shown to be insufficient for a proper detection and analysis of this type of risk. This is mainly because such changes are usually dominated by endogenous effects coming from a specific trading mechanism or natural market dynamics. A methodologically unique approach based on artificial options that always have a constant time to maturity is proposed and explicitly defined. The key principle is to use interpolated volatilities, which can effectively eliminate instabilities due to the natural market dynamics while the changes caused by the exogenous causes are preserved. Formal statistical tests for distinguishing significant effects are proposed under different theoretical and practical scenarios. Statistical theory, computational and algorithmic details, and comprehensive empirical comparisons together with a real data illustration are all presented.
Název v anglickém jazyce
Using interpolated implied volatility for analysing exogenous market changes
Popis výsledku anglicky
This paper focuses on market changes due to exogenous effects. The standard implied volatility is shown to be insufficient for a proper detection and analysis of this type of risk. This is mainly because such changes are usually dominated by endogenous effects coming from a specific trading mechanism or natural market dynamics. A methodologically unique approach based on artificial options that always have a constant time to maturity is proposed and explicitly defined. The key principle is to use interpolated volatilities, which can effectively eliminate instabilities due to the natural market dynamics while the changes caused by the exogenous causes are preserved. Formal statistical tests for distinguishing significant effects are proposed under different theoretical and practical scenarios. Statistical theory, computational and algorithmic details, and comprehensive empirical comparisons together with a real data illustration are all presented.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
10103 - Statistics and probability
Návaznosti výsledku
Projekt
<a href="/cs/project/GA21-10768S" target="_blank" >GA21-10768S: Pokročilé Ekonometrické Modely pro Oceňování Opcí II – AdEMOP2</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Ostatní
Rok uplatnění
2024
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Computational Management Science
ISSN
1619-697X
e-ISSN
1619-6988
Svazek periodika
21
Číslo periodika v rámci svazku
1
Stát vydavatele periodika
DE - Spolková republika Německo
Počet stran výsledku
21
Strana od-do
25
Kód UT WoS článku
001180251500002
EID výsledku v databázi Scopus
2-s2.0-85187228350