Results 211 to 220 of about 1,246,337 (384)
Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps [PDF]
, 2003 Kyriakos Chourdakis
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Real‐Time Forecasting Using Mixed‐Frequency VARs With Time‐Varying Parameters
Journal of Forecasting, EarlyView.ABSTRACT This paper provides a detailed assessment of the real‐time forecast accuracy of a wide range of vector autoregressive models that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed‐frequency time‐varying parameter vector autoregressive model with stochastic ...
Markus Heinrich, Magnus Reif
wiley +1 more source
Multivariate stochastic volatility modeling of neural data. [PDF]
Elife, 2019 Phan TD +3 more
europepmc +1 more source
Simulation of Stochastic Volatility using Path Integration: Smiles and Frowns
, 2000 Belal E. Baaquie, L. C. Kwek, M. Srikant
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Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary [PDF]
, 2003 Elias Tzavalis, Shijun Wang
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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
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 +2 more
wiley +1 more source
Pricing Volatility Referenced Assets
Revista Brasileira de Finanças, 2006 Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility.
Alan De Genaro Dario
doaj
Risk management based on stochastic volatility [PDF]
, 2003 Ernst Eberlein +2 more
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