Results 11 to 20 of about 1,307,477 (404)
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
Stochastic volatility duration models [PDF]
Journal of Econometrics, 2003 We propose a class of two factor dynamic models for duration data and related risk analysis in finance and insurance. Empirical findings suggest that the conditional mean and (under) overdispersion of times elapsed between stock trades feature various patterns of temporal dependence.
Éric Ghysels +2 more
openalex +4 more sources
PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
Mathematical Finance, 2017 We study the Merton portfolio optimization problem in the presence of stochastic volatility using asymptotic approximations when the volatility process is characterized by its timescales of fluctuation.
Jean-pierre Fouque +1 more
exaly +2 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
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
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
A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models [PDF]
Risks, 2020 We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero +2 more
semanticscholar +1 more source
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