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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
semanticscholar +6 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 memory of stochastic volatility models [PDF]
Journal of Econometrics, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Peter M. Robinson
openalex +5 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 +7 more sources
, 2005 Stochastic volatility (SV) is the main concept used in the elds of nancial economics and mathematical nance to deal with the endemic time-varying volatility and codependence found in nancial markets. Such dependence has been known for a long time.
Neil Shephard
core +3 more sources
The Heston stochastic volatility model in Hilbert space [PDF]
, 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
F. Benth, Iben Cathrine Simonsen
semanticscholar +3 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
Large Order-Invariant Bayesian VARs with Stochastic Volatility [PDF]
Journal of Business & Economic Statistics, 2021 Many popular specifications for Vector Autoregressions (VARs) with multivariate stochastic volatility are not invariant to the way the variables are ordered due to the use of a lower triangular parameterization of the error covariance matrix.
J. Chan, G. Koop, Xuewen Yu
semanticscholar +1 more source
Power and bipower variation with stochastic volatility and jumps
, 2003 O. Barndorff-Nielsen, N. Shephard
semanticscholar +3 more sources
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
Review of Economics and Statistics, 2021 The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard Bayesian vector autoregressions (BVARs). To address these issues, we propose BVAR models with outlier-augmented stochastic volatility (SV)
Andrea Carriero +3 more
semanticscholar +1 more source