Conditional variance swaps are similar to standard variance swaps but variance exposure is limited to a predefined range of underlying levels. Conditional variance swaps are similar to standard ...

The aim is to build classifiers that are robust against specific interventions. These domain-shift interventions are defined in a causal graph, extending the framework of Gong et al (2016). In ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

In this paper, we use daily stock returns from the Stockholm Stock Exchange in order to examine their volatility. For this reason, we estimate not only GARCH (1,1) symmetric model but also asymmetric ...