VOLATILITY AND IMPLIED MOMENTS
NEW MEASURES AND INDICES OF FINANCIAL CONNECTEDNESS
2015-2018
funded by FONDAZIONE CRMO and University of Modena and Reggio Emilia
PRINCIPAL INVESTIGATOR:
SILVIA MUZZIOLI institutional web page cv
PARTICIPANTS:
BERNARD DE BAETS institutional web page
ANDREA CIPOLLINI institutional web page cv
ELYAS ELYASIANI institutional web page cv
LUCA GAMBARELLI institutional web page cv
ALBERTO ZAFFARONI institutional web page cv
RESEARCH QUESTIONS:
1. How to obtain the risk measures (volatility, skewness, and other indices) and how to assess their usefulness:
- Traditional methods
- Elyasiani, E., Gambarelli, L., Muzzioli, S. (2017). “The Information Content of Corridor Volatility Measures During Calm and Turmoil Periods”. Quantitative Finance and Economics, 2017, 1(4): 454-473. doi: 10.3934/QFE.2017.4.454.
- Elyasiani, E., Gambarelli, L., Muzzioli, S. (2016). “The Risk-Asymmetry index”. CEFIN Working Paper n. 61. http://www.cefin.unimore.it/new/wp-content/uploads/2016/12/Cefin_WP_61.pdf.
- Elyasiani, E., Gambarelli, L., Muzzioli, S. (2016). “Fear or greed? What does a skewness index measure?”. DEMB Working Paper n. 102. http://merlino.unimo.it/campusone/web_dep/wpdemb/0102.pdf.
- Fuzzy regression methods
- Muzzioli S., Gambarelli L. De Baets B. (2017). “Towards a Fuzzy Volatility Index for the Italian Market”. Proceedings of the IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS (FUZZ-IEEE 2017) DOI: 10.1109/FUZZ-IEEE.2017.8015446.
- Muzzioli S., De Baets B. (2017). “Fuzzy Approaches to option price modelling”. IEEE Transactions on Fuzzy Systems, 25 (2), 2017, 392-401.
- Muzzioli S., Gambarelli L. De Baets B. (2017). “Towards a Fuzzy Volatility Index for the Italian Market”. Proceedings of the IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS (FUZZ-IEEE 2017) DOI: 10.1109/FUZZ-IEEE.2017.8015446.
2. Assessing the existence and sign of risk premia: investigation of CAPM and Fama-Macbeth regressions
- Elyasiani, E., Gambarelli, L., Muzzioli, S. (2016). “Moment Risk Premia and the Cross-Section of Stock Returns”. DEMB Working Paper n. 103. http://merlino.unimo.it/campusone/web_dep/wpdemb/0103.pdf
3. Financial connectedness:
- Diebold-Yilmaz framework
- Cipollini, A., Lo Cascio, I., Muzzioli, S. “Volatility co-movements: a time-scale decomposition analysis”, Journal of Empirical Finance, 34, 2015, 34-44.
- Cipollini, A., Lo Cascio, I., Muzzioli, S. “Financial connectedness among volatility risk premia”, CEFIN Working paper n. 58. http://www.cefin.unimore.it/new/wp-content/uploads/2015/12/Cefin_WP_58.pdf
DATA-SET:
CODE: