stochastic volatility
Detection of Patches of Outliers in Stochastic Volatility Processes.
... the volatility of financial asset returns tends to arrive in clusters, it is quite likely that outliers appear in ...the stochastic volatility, a sample of the New York Stock Exchange daily returns, ...
23
Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
... historical volatility tends to systematically underprice deep ITM options but overprice deep OTM op- ...the stochastic volatility, the overall overpricing of all SV models may be due to our ...
42
The stochastic volatility Markov functional model
... non-stochastic volatility model the volatility of the underlying asset, ...the volatility function of the Black-Scholes [8] model is a ...a stochastic volatility model, the ...
170
Nonparametric specification tests for stochastic volatility models based on volatility density
... an interesting problem. In the general measurement error models, Holzmann et al. (2007) have studied the nonparametric testing with indirect observations when the errors are ordinary smooth distributions. In a closely ...
59
Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models
... Alternatively, stochastic volatility (SV) models introduced by Taylor (1986), where volatility is allowed to evolve according to some latent stochastic process, can be used for modeling the ...
10
Testing for volatility co-movement in bivariate stochastic volatility models
... the volatility processes of a bivariate series are perfectly correlated in the framework of the multivariate stochastic volatility ...multiple stochastic volatility ...
31
Nonparametric estimation for a stochastic volatility model.
... Model (1) was introduced by Hull and White (1987) under the name of Stochastic Volatility model. It is often adopted in finance to model stock prices, stock indexes or short term interest rates: see for ...
25
Ranking and Combining Volatility Proxies for Garch and Stochastic Volatility Models
... and stochastic volatility models are standard tools for the time series analysis of daily ...optimizing volatility proxies when intraday high- frequency data are ...
31
Solving asset pricing models with stochastic volatility
... of stochastic volatility to ac- count for stylized asset pricing facts, the use of stochastic volatility has become a wide- spread addition to standard business cycle ...of stochastic ...
40
An Intertemporal CAPM with stochastic volatility
... of stochastic volatility in the long- run risk ...…nd stochastic volatility to be an important feature of the time series of equity ...drives volatility. This homoskedastic ...
77
Time change and control of stochastic volatility
... a stochastic volatility model when varying the volatility ...a stochastic differential equation without drift we allow for general measurable functions, and when it has a drift we impose a ...
126
Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models
... return volatility persistence on multivariate SV models, which are a generalized ex- tension of univariate SV ...as volatility moves to- gether across different markets, modeling volatility in a ...
7
Multivariate Stochastic Volatility with Co-Heteroscedasticity
... It is now well recognised that the variance for many macroeconomic and financial variables change over time. Many approaches have been proposed and employed to model this behaviour including Au- toregressive Conditional ...
45
Convertible Bond Pricing with Stochastic Volatility
... See the discussion in the Stochastic Volatility (SV) case as to how we deal with the FDAs for stock price and volatility at the boundaries. However, we still have the task, at least in this case, of ...
95
Efficient Bayesian Interference for Stochastic Volatility
... for stochastic volatility models using MCMC methods highly depends on actual parameter values in terms of sampling ...the volatility of volatility parameter in the latent state equation is ...
24
Accelerating the calibration of stochastic volatility models
... This paper compares the performance of three methods for pricing vanilla options in models with known characteristic function: (1) Direct integration, (2) Fast Fourier Transform (FFT), (3) Fractional FFT. The most ...
20
Option Valuation under Stochastic Volatility
... This model is important because, not only does it have a closed-form solution almost as simple as the square root model, but it displays a feature of many stochastic volatility models that you don’t see in ...
12
Stochastic volatility: Estimation and empirical validity
... implied volatility o f options contain relevant information about the evolution o f the latent return volatility process is ...implied volatility o f over-the-counter (OTC) options is ...implied ...
202
Online Particle Filtering of Stochastic Volatility
... yields an approximation for the volatility mean : m ≈ 2.6435e − 004. For the approximation of the drift μ in (12) we get 5.4008e − 004. The variance D and the rate α that give a good fitting between the covariance ...
6
Nonparametric specification tests for stochastic volatility models based on volatility density
... an interesting problem. In the general measurement error models, Holzmann et al. (2007) have studied the nonparametric testing with indirect observations when the errors are ordinary smooth distributions. In a closely ...
60