Results 1 to 10 of about 110,635 (53)
The time-varying asymmetry of exchange rate returns : a stochastic volatility - stochastic skewness model [PDF]
, 2020 While the time-varying volatility of financial returns has been extensively modelled, most existing stochastic volatility models either assume a constant degree of return shock asymmetry or impose symmetric model innovations. However, accounting for time-
Iseringhausen, Martin
core +1 more source
Extremal behavior of stochastic volatility models [PDF]
, 2005 Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels.
Fasen, V. +2 more
core +2 more sources
Double-jump stochastic volatility model for VIX: evidence from VVIX
, 2015 The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear relation between ...
Huang, Jing-Zhi +3 more
core +1 more source
Multiple time scales and the empirical models for stochastic volatility [PDF]
, 2006 The most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull-White models define volatility as a Markovian process.
Brosa +32 more
core +2 more sources
, 2006 We propose two main applications of Gy\"{o}ngy (1986)'s construction of inhomogeneous Markovian stochastic differential equations that mimick the one-dimensional marginals of continuous It\^{o} processes.
Atlan, Marc
core +2 more sources
Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
, 2016 This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=\kappa_{t}\left(\theta_{t}-V_{t}\right)dt+\lambda_{t}V_{t}dB_{t}$.
Langrené, Nicolas +2 more
core +2 more sources
Given the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real- time estimates and forecasts of current and future volatility have been extensive.
Luca Benzoni, Torben G. Andersen
core +3 more sources
The Heston stochastic volatility model in Hilbert space
, 2017 We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined
Benth, Fred Espen +1 more
core +1 more source
Hedging with Stochastic and Local Volatility [PDF]
We derive the local volatility hedge ratios that are consistent with a stochastic instantaneous volatility and show that this ‘stochastic local volatility’ model is equivalent to the market model for implied volatilities.
Carol Alexander, Leonardo M. Nogueira
core
Maximum likelihood approach for several stochastic volatility models
, 2012 Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable.
Camprodon, Jordi, Perelló, Josep
core +1 more source