Long-memory Stochastic Volatility
Long memory estimation of stochastic volatility for index prices
... Constant volatility models have been proven in giving a poor fit on financial time series but the dynamic structures present a more realistic approach to volatility ...because volatility is affected ...
42
Consequences for option pricing of a long memory in volatility
... when volatility is stochastic and has a short memory has been studied by several researchers using a variety of ...its volatility. These are called stochastic volatility (SV) ...
57
Distinguishing short and long memory volatility specifications
... realized volatility series from January 1, 1993 to December 31, ...intraday volatility patterns that reflect the opening and closing of various financial centers in the world, their attendant macroeconomic ...
21
Exponential Smoothing, Long Memory and Volatility Prediction
... a stochastic volatility model for asset returns, see Engle (1995) and Shephard (2005) for a collection of key references in these ...of volatility, such as daily realized volatility measures, ...
29
Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market
... and stochastic volatility models, which generally imply a monotone geometric decay in the autocorrela- tion of the absolute returns, are not directly ...
6
Testing weak form informational efficiency on the Tunisian stock market using long memory models
... the volatility in these ...the volatility increases more after bad news than after good ...the volatility reacts asymmetrically to the sign of the ...
12
Market risk and the concept of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets
... The implied volatilities of both American and European options are calculated from the Black (1976) pricing formula for options on futures. Two distinct benefits come from using Black’s option pricing formula on futures. ...
41
Option Pricing with Stochastic Volatility
... in stochastic volatility models by using Ito’s lemma and its applications to boundary Cauchy problem by giving the solution of vanilla option pricing mod- els satisfying the partial differential equation ...
9
Integer valued stochastic volatility
... We propose a novel class of count time series models, the mixed Poisson integer-valued stochas- tic volatility models. The proposed specification, which can be considered as an integer-valued analogue of the ...
44
Essays on Macroeconometrics
... the volatility around 1984 are comprehensive and best characterized as discrete ...complexi…es volatility process one step further by allowing a subset of volatilities to have independent ...high ...
119
Estimating and testing stochastic volatility models using realized measures
... As one can notice from (12), a test for the correct specification of mean, variance and covariance structure of integrated volatility can be performed without knowledge of the leverage parameter ρ and/or the ...
49
Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
... the volatility persistence for daily return series of Turkish Stock Market, and to compare the performance of various VaR models with normal, student-t and skewed student-t ...the volatility features of the ...
13
Long Memory Property In Return and Volatility: Evidence from the Indian Stock Markets
... the long memory property in the Indian stock ...of long memory property in the stock returns. The absence of long memory in asset returns supports the weak form market efficiency ...
13
Long Memory Affine Term Structure Models
... their long memory parameter well within the range 0 and ...a long memory parameter of about 1/4, in agreement with previous findings in the ...short memory yet with a relatively large ...
62
Long Memory in Stock Market Volatility:Evidence from India
... on long memory in volatility in developed markets particularly the US (See, Ding et al 1993; Crato and Lima 1994; Ding and Granger 1996; Andersen and Bollerslev 1997; Granger et al 1997; Comte and ...
21
Uncovering Long Memory in High Frequency UK Futures
... addition, long memory is never strongest for the standardised residuals volatility series at k = 1 regardless of whether it’s the absolute or squared ...UK Long Gilt series, k = ...
29
Time series properties of ARCH processes with persistent covariates
... There are two more stylized facts about volatility in …nancial time series which we did not consider in this paper. One is the leverage e¤ect in stock return series, and the ARCH-NNH model can easily deal with the ...
45
Modeling Long Memory in REITs
... and volatility series. It then formally tests for the long memory property and measures the magnitude of the fractional integration ...two long memory volatility models, ...
30
Dual Long Memory Properties with Skewed and Fat-Tail Distribution
... of long memory in their volatility, but they do not in general agree on the presence of long memory in their ...the long memory property of the KOSDAQ market is revealed ...
25
Ranking and Combining Volatility Proxies for Garch and Stochastic Volatility Models
... The optimized proxy easily outperforms all proxies in Tables 1 and 2. If one extrapolates the full sample prescaled variances of the realized volatilities of Table 1 to a time interval of length zero (corresponding to ...
31