George Skiadopoulos

TL;DR: In this article, the authors investigated whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes, and they found that commodities are beneficial only to non-mean-variance investors.

TL;DR: In this article, the authors investigated whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes, and they found that commodities are beneficial only to non-mean-variance investors.

TL;DR: In this paper, the authors address the question whether the evolution of implied volatility can be forecasted by studying a number of European and US implied volatility indices, both point and interval forecasts are formed by alternative model specifications.

Abstract: This empirical study is motivated by the literature on “smile-consistent” arbitrage pricing with stochastic volatility. We investigate the number and shape of shocks that move implied volatility smiles and surfaces by applying Principal Components Analysis. Two components are identified under a variety of criteria. Subsequently, we develop a “Procrustes” type rotation in order to interpret the retained components. The results have implications for both option pricing and hedging and for the economics of option pricing.

TL;DR: In this paper, the authors explore the ability of alternative popular continuous-time diffusion and jump-diffusion processes to capture the dynamics of implied volatility indices over time and evaluate the performance of the various models under both econometric and financial metrics.