Guillaume Roussellet awarded 2019 FRQSC New Academics Grant

News

Published: 26Jul2019

Congratulations to Guillaume Roussellet, Assistant Professor in Finance, awarded 2019 FRQSC New Academics Grant (Soutien à la recherche pour la relève professorale) “Facteurs de volatilité et valorisation du VIX”

This FRQSC funded research project will investigate the improvement of stock volatility modeling and forecasting through the use of asset prices. Specifically, the project will focus on (i) how to efficiently incorporate variance swap data into aggregated S&P500 volatility estimation; (ii) extending the methodology to individual stock volatility and correlation forecast; and (iii) extending the set of asset prices to higher order moments swaps like skewness and kurtosis.