The observation that price declines usually lead to volatility increases is known as the
asymmetric volatility effect and has become a stylized fact about the financial markets. We …

The COVID-19 has undoubtfully brought fierce shocks to the real economic activities,
financial market and public lives. Under this special condition, this study explores whether …

The ability to predict the price of stock exchange assets has attracted the attention of
economists and physicists around the world, as physical models are useful to predict …

In this paper, we consider Asian options with counterparty risk under stochastic volatility
models. We propose a simple way to construct stochastic volatility models through the …

We propose an extension of the model introduced by Barndorff-Nielsen and Shephard,
based on stochastic processes of Ornstein–Uhlenbeck type taking values in Hilbert spaces …

This study aims to improve the forecasting performance of technical indicators for crude oil
prices by imposing economic constraints on the sign of the shrinkage estimators. The out-of …

This paper investigates the dynamics of high frequency crude oil markets proxied by the
United States Oil (USO) exchange traded fund (ETF). USO returns are modelled using a …

Operating in energy and commodity markets require a management of risk using derivative
products such as forward and futures, as well as options on these. Many of the popular …

We introduce a simple additive process for equity index derivatives. The model generalizes
Lévy Normal Tempered Stable processes (eg NIG and VG) with time-dependent parameters …

This paper investigates the dynamics of the United States oil (USO) exchange traded fund
(ETF). Daily USO returns are modelled using stochastic volatility (SV) frameworks derived …