Search Results - subject:"Stochastic Volatility Model" - EconBiz

Nominal stability over two centuries

Kaufmann, Daniel - In: Swiss journal of economics and statistics 155 (2019) 7, pp. 1-23

transitory measurement errors, in particular in nineteenth century data, I use an unobserved-components stochastic-volatility … model to extract the permanent trends from several nominal variables. The descriptive analysis of these trends suggests that …

Persistent link: https://www.econbiz.de/10012041708

Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models

Choi, Seungmoon - In: KDI Journal of Economic Policy 40 (2018) 4, pp. 1-22

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we...

Persistent link: https://www.econbiz.de/10012034837

Modeling time-varying uncertainty of multiple-horizon forecast errors

Clark, Todd E.; McCracken, Michael W.; Mertens, Elmar - 2018

Persistent link: https://www.econbiz.de/10011878541

Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications

Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018

Persistent link: https://www.econbiz.de/10011891048

CVA and vulnerable options in Stochastic volatility models

Alòs, Elisa; Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012650293

Replication scheme for the pricing of European options

Funahashi, Hideharu - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10012652628

Optimal investment strategy in the family of 4/2 stochastic volatility models

Cheng, Yuyang; Escobar, Marcos - In: Quantitative finance 21 (2021) 10, pp. 1723-1751

Persistent link: https://www.econbiz.de/10012653709

Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme

Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161

Persistent link: https://www.econbiz.de/10012588029

Pricing virtual currency-linked derivatives with time-inhomogeneity

Lian, Yu-Min; Chen, Jun-Home - In: International review of economics & finance : IREF 71 (2021), pp. 424-439

Persistent link: https://www.econbiz.de/10012627797

The VIX and future information

Hess, Markus - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-30

Persistent link: https://www.econbiz.de/10012807884

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