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Title: Volatility spillovers and value-at-risk for hedge fund strategies
Authors: Falzon, Joseph
Manicaro, Christian
Keywords: Financial risk management
Hedge funds -- Management
Value at risk
Issue Date: 2012
Publisher: The International Journal of Finance
Citation: Falzon, J., & Manicaro, C. (2012). Volatility spillovers and value-at-risk for hedge fund strategies. The International Journal of Finance, 24(4), 7527-7541.
Abstract: The volatility of an asset price measures how uncertain we are about future asset price movements. It is one of the factors affecting option price and the only input into the Black-Scholes model that cannot be directly observed. Thus, estimating volatility properly is vital. Two approaches to calculating volatility are historical and implied volatilities. Using index options listed on the Chicago Board of Options Exchange, this paper focuses on historical volatility. Since numerous methods of estimating volatility may provide different results, this paper assesses the impact of volatility estimation method on theoretical option values.
Appears in Collections:Scholarly Works - FacEMABF

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