Results 1 to 10 of about 1,307,378 (305)
Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility [PDF]
Risks, 2020 We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time.
Moawia Alghalith +2 more
doaj +5 more sources
SSRN Electronic Journal, 2008 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 +9 more sources
NONPARAMETRIC STOCHASTIC VOLATILITY [PDF]
SSRN Electronic Journal, 2018 We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint evaluation of return and volatility dynamics with nonlinear drift and diffusion functions, nonlinear leverage effects, and jumps in returns and ...
F. Bandi, R. Renò
semanticscholar +6 more sources
The Jacobi stochastic volatility model [PDF]
Finance and Stochastics, 2016 We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case.
Damien Ackerer +2 more
semanticscholar +10 more sources
The memory of stochastic volatility models [PDF]
Journal of Econometrics, 2001 A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied to approximate autocovariances of time series generated by nonlinear transformation of Gaussian latent variates, and nonlinear functions of these, with special reference to long memory stochastic volatility models, serving to identify the roles played
Peter M. Robinson
openalex +5 more sources
Smiling under stochastic volatility [PDF]
Spanish Economic Review, 2004 This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous
León, Angel, Rubio Irigoyen, Gonzalo
core +4 more sources
On Leverage in a Stochastic Volatility Model [PDF]
Journal of Econometrics, 2004 This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the other is the discrete time SV model of Jacquier, Polson ...
Jun Yu
openalex +7 more sources
arXiv, 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. Firstly, we prove Dupire (1994) and Derman and Kani (1994)'s result. We then present Bessel-based stochastic volatility models in which this relation
Atlan, Marc
arxiv +4 more sources
Power and bipower variation with stochastic volatility and jumps
, 2003 This paper shows that realised power variation and its extension we introduce here called realised bipower variation is somewhat robust to rare jumps.
O. Barndorff-Nielsen, N. Shephard
semanticscholar +3 more sources
Test data sets for calibration of stochastic and fractional stochastic volatility models [PDF]
Data in Brief, 2016 Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in ''On calibration of stochastic and fractional stochastic volatility models'' [1].
Jan Pospíšil, Tomáš Sobotka
doaj +2 more sources