Shifts in volatility driven by large stock market shocks

We introduce and define the concept of stream volatility, and propose a novel technique to detect volatility on data streams in the presence of concept drifts.

2023年9月8日 — While the Volatility Ratio indicates heightened activity or potential price changes, it doesn't specify if the price will move up or down. For ...

After a period of about two years with fairly steady price increases and persistently low volatility, global stock markets experienced a notable price and ...

由 Y Dendramis 著作 · 2015 · 被引用 36 次 — This paper presents an extension of the stochastic volatility model which allows for level shifts in volatility of stock market returns, known as structural ...

Personal Consumption Expenditures, the preferred measure for inflation by the Federal Reserve Board (FRB), came out at 1.5% year over year. This figure is well ...

由 DS Broca 著作 · 1994 · 被引用 5 次 — The volatility or risk parameter, usually defined as the standard deviation of stock returns, forms the cornerstone of contemporary finance theories.

2023年9月6日 — Volatility skew occurs due to the difference in implied volatility (IV) levels of options with different strike prices but the same expiration ...

Volatility is how much and how quickly prices move over a given span of time. In the stock market, increased volatility is often a sign of fear and uncertainty ...

由 GW SCHWERT 著作 · 1989 · 被引用 5670 次 — When stock prices fall relative to bond prices, stock volatility increases. Thus, the “effect of leverage” plot is a time series of aggregate firm value (stock ...