# Realised volatility

##### Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.

##### Quants tout alternative carry trades for the ‘new normal’

Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions

##### Review of 2017: All sorts of volatility, bar one

Markets were oddly calm this year, while everything else was in motion

##### A quick tool to forecast value-at-risk using implied and realized volatilities

The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.

##### Cutting edge introduction: Monetising out-of-the-money

Out-of-the-money options contain a hidden premium, says one quant

##### Isolating a risk premium on the volatility of volatility

Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options

Time for a timer

##### Volatility to remain elevated in 2012, says Barclays Capital

Volatility levels in equity markets in 2012 will be similar to those experienced in 2011, according to Barclays Capital

##### House of the year

House of the year

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