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- W3149374251 abstract "This paper presents time-series of higher-order volatilities for the SP accordingly we term them base, and volatility. We define instantaneous skewness and kurtosis as simple ratios of the volatilities, and show that when these metrics are held constant, the model is relative sticky-delta. For the S&P 500 in 2008, skew and smile volatility are highly correlated with base volatility. Instantaneous skewness and kurtosis are remarkably stable, including over the market dislocation of the last four months of the year. Daily changes in all three volatilities are correlated with daily returns. For EURUSD in 2006, base and smile volatility are closely correlated, but in contrast to the equity case, skew volatility is independent and changes sign. This change in sign appears to provide advance warning of the two major market moves of the year. However, daily changes in the volatilities are uncorrelated with daily returns." @default.
- W3149374251 created "2021-04-13" @default.
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- W3149374251 date "2010-01-12" @default.
- W3149374251 modified "2023-09-27" @default.
- W3149374251 title "Higher-order volatility: time series" @default.
- W3149374251 hasPublicationYear "2010" @default.
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