Results for “volatility”

UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.

PhD thesis — Three essays on high-frequency return and volatility dynamics in commodities and financial futures markets (Université Laval).

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wp47_uqo · 90dc9d9 · Simon-Pierre Boucher · 4 h ago

…n one sentence (revised, peer reviewed version 2.0) — How much does the implied volatility surface add to HAR RV, and does the implied to realized correlation gap predict market stress? On a 2010–2025 panel of 69 liquid…

🎓 Three Essays on High Frequency Return and Volatility Dynamics in Commodities and Financial Futures Markets Doctoral thesis by articles (thèse par articles) — Simon Pierre Boucher, Faculté des sciences de l'administrat…

…rket regimes and information sets, when — if ever — do more complex conditional volatility models reliably beat GARCH(1,1), and is any gain worth the numerical and computational cost? A pre registered benchmark (protocol…

…rics, commodity markets, monetary policy announcements, high frequency finance, volatility modelling, textual analysis, and financialization) alongside the Zyquo suite : six native macOS applications focused on AI and lo…

…th multiplicity adjustment: no lead–lag relation is claimed in either direction Volatility models kept in an appendix as a description of the fits, without inference; subtitle changed from No Arbitrage Bounds to Executab…

…peer reviewed version 2.0) — Which markets originate and which absorb realized volatility shocks? Using daily realized volatility from 5 minute returns for ten instruments on 2,512 common trading days (March 2016–March…

…–2026), realized (co)variances, event windows, local projections, 5 minute VAR, volatility connectedness, HAR forecasts. Headline numbers (current ). Cumulated minute series vs daily CMT factor changes: R² 0.93 / 0.80 /…

…random walk with a trailing scale (Gaussian and calibrated Student t), seasonal volatility, EWMA, minute scale HAR RV, GARCH(1,1) t, ridge, elastic net, LightGBM, an MLP and a TCN with the same Student t head, built unde…

…26 test period. The null holds at five horizons, for five accounting targets, a volatility placebo, unseen firms, every refit year and every subgroup; the signal is already in prices at the cutoff and has no factor adjus…

…of an unobserved store, so promotion statistics on such feeds are upper bounds (volatility ratio 2.04 against 1.65 on single store feeds) and the pre sale price elevation is store mixture noise; matched products differ b…

…rageurs, leveraged traders — calibrated to stylized facts (ACF₁ ≈ 0, fat tails, volatility clustering, 10–30 bp spreads); 10,000 traders run in 24 s. 4. Adds LLM agents ( ): OpenAI (Responses API, json schema), Anthropic…

…n calm years → a range of 3.6–10.9 times relative to 2013–2019 depending on the volatility scale; the apparent 1997/98 break disappears under the observable name denominator (4.3 per 1,000 in 1997, 3.2 in 1998). Added: a…

…sset transfer, and the conclusion that smooth forecasters beat accurate ones in volatility timing. A time stamp error in the cryptocurrency data was also corrected and the affected forecasts re run. Benchmark: ridge on e…

…ing Black Scholes model with full Greeks (delta, gamma, theta, vega, rho) GARCH Volatility Volatility modeling and forecasting with GARCH(1,1) , Value at Risk (VaR) Historical, parametric, and Monte Carlo VaR at multiple…

…is changing globally), Change detection (records, reversals, structural breaks, volatility), Trajectories ( , animated Gapminder style bubbles), Scatter with descriptive statistics, Country Finder ( , filter the world li…

…experiment Montreal condos thinned to 100/50/25/15/10/5 tx/period; RMSE, bias, volatility, turning points and CI coverage justify the A–E liquidity tiers empirically Weekly vs monthly Same methodology at both frequencie…

…d interest, day count conventions Interest rate risk — duration, convexity, and volatility in the bond market Term structure of interest rates — spot/forward rates, yield curve theories Money markets — T bills, commercia…