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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory …
Persistent link: https://www.econbiz.de/10011483824
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16
corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …
Persistent link: https://www.econbiz.de/10011854876
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Essays on variance risk
Gruber, Peter H. - 2015
My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core...
Persistent link: https://www.econbiz.de/10011931531
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of Risk and Financial Management 10 (2017) 4, pp. 1-16
corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …
Persistent link: https://www.econbiz.de/10012610989
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Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory …
Persistent link: https://www.econbiz.de/10011526121
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Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
Duan, Jin-Chuan; Fulop, Andras - 2005
The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10010494319
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Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - 2005
The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10011560691
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Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
Duan, Jin-Chuan; Fulop, Andras - ESSEC Business School - 2006
The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … liquidity proxies. A simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10005021638
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Scheduling processes and inference of scheduled events from price data
Leippold, Markus; Svaton, Michal - 2024
Persistent link: https://www.econbiz.de/10014486795
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Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
Duan, Jin-Chuan; Fulop, Andras - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2005
The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10005404531