Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data

DOI10.1016/j.cam.2013.06.024zbMath1314.91249OpenAlexW1963887857MaRDI QIDQ2349603

A. İnkaya, Yeliz Yolcu-Okur

Publication date: 17 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.06.024

zbMATH Keywords

Malliavin calculusleverage effectFourier methodvolatility feedback effect

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Fourier series method for measurement of multivariate volatilities
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Stochastic calculus of variations in mathematical finance.
• COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA
• The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• On measuring volatility of diffusion processes with high frequency data

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