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Multivariate option pricing with time varying volatility and correlations

ROMBOUTS, Jeroen J. K; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2010

In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...

Persistent link: https://www.econbiz.de/10008550198

On marginal likelihood computation in change-point models

BAUWENS, Luc; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2009

Change-point models are useful for modeling time series subject to structural breaks. For interpretation and forecasting, it is essential to estimate correctly the number of change points in this class of models. In Bayesian inference, the number of change points is typically chosen by the...

Persistent link: https://www.econbiz.de/10008550205

Bayesian option pricing using mixed normal heteroskedasticity models

ROMBOUTS, Jeroen V.K.; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2009

Persistent link: https://www.econbiz.de/10008494365

Hierarchical shrinkage priors for dynamic regressions with many predictors

KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011

This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation....

Persistent link: https://www.econbiz.de/10010610451

Marginal likelihood for Markov-switching and change-point GARCH models

BAUWENS, Luc; DUFAYS, Arnaud; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2011

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC methods due to the path dependence problem. An unsolved...

Persistent link: https://www.econbiz.de/10010610474

A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models

BAUWENS, Luc; KOOP, Gary; KOROBILIS, Dimitris; … - Center for Operations Research and Econometrics (CORE), … - 2011

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample...

Persistent link: https://www.econbiz.de/10009002073

Option pricing with asymmetric heteroskedastic normal mixture models

ROMBOUTS, Jeroen V. K.; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2010

This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models can be estimated straightforwardly by maximum likelihood, have high statistical fit when used on S&P 500 index return data, and allow for substantial negative skewness and time...

Persistent link: https://www.econbiz.de/10008836162

Commodities inventory effect

CARPANTIER, Jean - François - Center for Operations Research and Econometrics (CORE), … - 2010

variance to negative price shocks. We show that these asymmetric GARCH models are also relevant for modelling commodity prices …. Contrary to the equity case, positive shocks are the main contributors to the conditional variance of commodity prices. The … theory of storage, by relating the state of the inventories of a commodity to its conditional variance, is a serious …

Persistent link: https://www.econbiz.de/10008642223

Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework

Braione, Manuela; Scholtes, Nicolas K. - Center for Operations Research and Econometrics (CORE), … - 2014

-tailed and often skewed. In order to account for both the skewness and the excess kurtosis in returns, we combine the BEKK model …

Persistent link: https://www.econbiz.de/10011246290

Autoregressive moving average infinite hidden markov-switching models

Bauwens, Luc; Carpantier, Jean-François; Dufays, Arnaud - Center for Operations Research and Econometrics (CORE), … - 2015

dynamics of the mean and the variance parameters. In this class, the number of regimes is possibly infinite and is determined …

Persistent link: https://www.econbiz.de/10011246294