Showing 1 - 10 of 18
pricing model. Implied volatility smiles appear to be explained by the negative asymmetry of the filtered historical … hedging in the presence of large volatility shocks. …
Persistent link: https://www.econbiz.de/10005858303
constant volatility. In this paper, we examine the best performing parametric models against nonparametric alternatives. In … particular, we study the stochastic volatility (SV) and stochastic volatility randomjump (SVJ) models as parametric benchmarks …
Persistent link: https://www.econbiz.de/10005857988
order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …
Persistent link: https://www.econbiz.de/10005857785
This paper extends the class of deterministic volatility Heath-Jarrow-Morton (1992) models to a Markov chain stochastic … volatility framework allowing for jump discontinuities and a variety of deformations of the term structure of forward rate … volatilities. Analytical solutions for the dynamics of the volatility term structure are obtained. Semimartingale decompositions of …
Persistent link: https://www.econbiz.de/10005858311
from a given set defined by the parametric volatility specification and the structure of a continuous time Markov chain that … modulates the volatility function. The first stochastic volatility specification generates jump discontinuities in volatility and … shape-preserving evolution of the volatility term structure in thefuture. The second specification allows, in addition, for …
Persistent link: https://www.econbiz.de/10005858312
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...
Persistent link: https://www.econbiz.de/10005858366
) estimation of the conditional mean vector and the conditional volatility matrix of a multivariate interest rate series. The … principal components, a multivariate CCC-GARCH model, or the exponential smoothing volatility forecasting technique used by the …
Persistent link: https://www.econbiz.de/10005858367
We show that the volatility of a price process, which is usuallyregarded as an impediment to financial growth, can serve …
Persistent link: https://www.econbiz.de/10005858396
and Stein stochastic volatility model driven by two correlated Brownian motion. It turns out that in case the mean …
Persistent link: https://www.econbiz.de/10005858499
In a heterogenous agents framework, we study a randomized version of Zeeman's market model with fundamental and momentum traders. Using methods from random dynamical systems theory, we examine convergence properties of invariant measures which correspond to market equilibria. It turns out that...
Persistent link: https://www.econbiz.de/10005858500