Volatility is rough

Estimating Stochastic Volatility: The Rough Side to Equity Returns

This Project evaluates the forecasting performance of a Brownian Semi-Stationary (BSS) process in modelling the volatility of 21 equity indices. We implement a sophisticated Hybrid Scheme to simulate BSS processes with high efficiency and precision. These simulations are useful to price derivatives, accounting for rough volatility. Then we calibrate the BSS parameters for the realised kernel of...

Is Aid Volatility Harmful?

This paper studies the causal e¤ect of aid volatility on the economic performance of developing countries in 2000-2009 period. We construct a time-varying measure of aid volatility using autoregressive conditional heteroskedasticity (ARCH). We control for the endogeneity of aid ‡ows by using as instruments for aid volatility three characteristics of donor counitres: (i) their budget de…cits ; (...

Is Unlevered Firm Volatility Asymmetric?

Asymmetric volatility refers to the stylized fact that stock volatility is negatively correlated to stock returns. Traditionally, this phenomenon has been explained by the financial leverage effect. This explanation has recently been challenged in favor of a risk premium based explanation. We develop a new, unlevering approach to document how well financial leverage, rather than size, beta, boo...

Rough Ice Is Bad Ice

in the early days of aviation, at the advent of thermal ice protection system development, aircraft designers believed that in fighting in-flight icing, the critical variables were the mass of supercooled water that an airplane would transit and the temperature. The measure of mass is liquid water content (LWC). Droplet size of supercooled water, which influences potential icing severity, is me...

Is "low volatility effect" that anomalous?