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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
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.
Torben G. Andersen, Luca Benzoni
core +3 more sources
"Multivariate stochastic volatility" [PDF]
, 2009 We provide a detailed summary of the large and vibrant emerging literature that deals with the multivariate modeling of conditional volatility of financial time series within the framework of stochastic volatility.
Manabu Asai +2 more
core +3 more sources
Multipower Variation and Stochastic Volatility [PDF]
, 2006 In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models.
Neil Shephard, Ole Barndorff-Nielsen
core +5 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
Quasi-maximum likelihood estimation of stochastic volatility models [PDF]
Journal of Econometrics, 1994 Publicado además en: Recent developments in Time Series, 2003, vol. 2, ISBN13: 9781840649512, pp. 117-134Changes in variance or volatility over time can be modelled using stochastic volatility (SV) models.
Esther Ruiz
exaly +2 more sources
Pricing of Pseudo-Swaps Based on Pseudo-Statistics
Risks, 2023 The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities.
Sebastian Franco, Anatoliy Swishchuk
doaj +1 more source
Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
doaj +1 more source
Journal of Function Spaces, 2021 It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou +3 more
doaj +1 more source
Modeling Price Dynamics and Risk Forecasting in Tehran Stock Exchange Market: Nonlinear and Non-gaussian Models of Stochastic Volatility [PDF]
تحقیقات مالی, 2023 Objective: The daily observations of the total index of the Tehran Stock Exchange show that in the last few years, stock prices have been very volatile. This volatility can harm the economic environment of Iran.
Moslem Nilchi, Daryush Farid
doaj +1 more source