Results 11 to 20 of about 1,246,337 (384)
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
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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 +8 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
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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
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
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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
Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility
Mathematics, 2021 This study examines the volatility of nine leading cryptocurrencies by market capitalization—Bitcoin, XRP, Ethereum, Bitcoin Cash, Stellar, Litecoin, TRON, Cardano, and IOTA-by using a Bayesian Stochastic Volatility (SV) model and several GARCH models ...
Jong-Min Kim, Chulhee Jun, Junyoup Lee
semanticscholar +1 more source
Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]
Public and Municipal Finance, 2016 Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
doaj +1 more source
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter
Econometrics, 2023 Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive.
Manabu Asai
doaj +1 more source