This paper introduces and studies the econometric properties of a general new class of models, which I refer to as jump-driven stochastic volatility models, in which the volatility is a moving average of past jumps. I focus attention on two particular semiparametric classes of jump-driven stochastic volatility models. In the first the price has a continuous component with time-varying volatilit...

This analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the implied volatility simultaneously. Using 15 years of futures and futures options data for three agricultural commodities, we find that the si...

We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of “reciprocal affine” models for which the indifference price and optimal hedge portfolio for pure volatility claims are efficiently computable. We obtain a general formula for the market price of volatility risk in these models and calculate it explicitly for th...

High food price instability is one of the major risks facing agricultural households from developing countries. Resulting from agronomic factors as well as the historically low levels of world grain stocks and climate change, increased food price volatility has attracted renewed interest among policy experts in identifying appropriate policy instruments to counter its effects. This paper applie...

there are two major methods in predincing the pattern of share value in the stock market: fundamental analysis and technical analysis. i this study we developed a novel model for fundamental analysis of share price and validated it by predicting the behavior of phrama share price in tehran stock market. the efficiency of the fundamental method was compared with that of indicator-based technical...

The price range, defined as the difference between the highest and lowest log asset prices over a fixed sampling interval (for concreteness, we focus on a 1-day interval), has a long, colorful, and distinguished history of use as a volatility estimator. As emphasized most recently by Alizadeh, Brandt, and Diebold (2002), the range is a highly efficient volatility proxy, distilling volatility in...

Recent literature on realized volatility suggests that the observed price process of an asset may be decomposed into two parts: the genuine (unobservable) price process and microstructure noise. In this article we present a methodology to estimate stochastic volatility by separating these components. Depending on market liquidity, the source of a move in the transaction price of an asset may be...

We proposed an artificial market model based on deterministic agents which select their action depending on past price changes. Temporal development of market price fluctuations is calculated numerically. Probability density functions of market price changes have power tails. Autocorrelation coefficient of the changes has an anti-correlation, and autocorrelation coefficient of squared changes (...