Results 171 to 180 of about 204,882 (322)

Skew selection for factor stochastic volatility models. [PDF]

J Appl Stat, 2020
Nakajima J.
europepmc   +1 more source

On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures

, 2008
The purpose of this paper is to study the generalized Fong--Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short rate (square of volatility) is assumed to be stochastic as well and it ...
Sevcovic, D., Stehlikova, B.
core  

Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions

Journal of Forecasting, EarlyView.
Abstract Reverse Unrestricted MIxed DAta Sampling (RU‐MIDAS) regressions are used to model high‐frequency responses by means of low‐frequency variables. However, due to the periodic structure of RU‐MIDAS regressions, the dimensionality grows quickly if the frequency mismatch between the high‐ and low‐frequency variables is large.
Alain Hecq, Marie Ternes, Ines Wilms
wiley   +1 more source

A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. [PDF]

J Forecast, 2020
Huber F, Pfarrhofer M, Piribauer P.
europepmc   +1 more source

GARCH vs. stochastic volatility: Option pricing and risk management [PDF]

, 2002
Alfred Lehar, Martin Scheicher, Christian Schittenkopf   +2 more
openalex   +1 more source

Asymptotic properties of GMM estimators of stochastic volatility. [PDF]

Estimator; Stochastic volatility; Volatility;
Dhaene, Geert, Vergote, Olivier
core  

Fundamentals Models Versus Random Walk: Evidence From an Emerging Economy

Journal of Forecasting, EarlyView.
ABSTRACT We analyze the predictive power of fundamentals versus random walk models for horizons from 1 to 24 months in an emerging market. Specifically, we investigate what fundamentals models outperform random walk during periods of appreciation and depreciation of the exchange rate.
Helder Ferreira de Mendonça, Luciano Vereda, Luan Mateus Matos de Araújo   +2 more
wiley   +1 more source

Statistical analysis of foreign exchange rates: application of cointegration model and regime-switching stochastic volatility model

, 1997
Koji Kondo
openalex   +2 more sources

A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models ( Revised in June 2008, Published in "Journal of Futures Markets", Vol.29-5, 397-413, 2009. ) [PDF]

This paper proposes a new scheme for static hedging of European path-independent derivatives under stochastic volatility models. First, we show that pricing European path-independent derivatives under stochastic volatility models is transformed to ...
Akihiko Takahashi, Akira Yamazaki
core  

Pricing VXX Options With Observable Volatility Dynamics From High‐Frequency VIX Index

Journal of Futures Markets, EarlyView.
ABSTRACT This paper develops a discrete‐time joint analytical framework for pricing volatility index (VIX) and VXX options consistently. We show that our framework is more flexible than continuous‐time VXX models as it allows the information contained in the high‐frequency VIX index to be incorporated for the joint pricing of VIX and VXX options, and ...
Shan Lu
wiley   +1 more source