Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method

DOI10.1080/07474938.2014.932144zbMath1491.62146OpenAlexW2074564430MaRDI QIDQ5864356

Moawia Alghalith

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.932144

zbMATH Keywords

portfoliostochastic volatilityinvestmentvolatility of volatilitystock

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Portfolio theory (91G10)

Cites Work

• Modelling and forecasting noisy realized volatility
• A new stochastic factor model: general explicit solutions
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*
• Realized Volatility and Long Memory: An Overview
• The Volatility of Realized Volatility
• Multivariate Stochastic Volatility
• Option Pricing in Multivariate Stochastic Volatility Models of OU Type
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Multivariate Stochastic Volatility: A Review

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