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stochastic volatility
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Multivariate Option Pricing with Time Varying Volatility and Correlations
Rombouts, Jeroen V.K.
;
Stentoft, Lars
-
School of Economics and Management, University of Aarhus
-
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/10008468123
Saved in:
2
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
Rombouts, Jeroen V.K.
;
Stentoft, Lars
-
School of Economics and Management, University of Aarhus
-
2009
negative
skewness
and time varying higher order moments of the risk neutral distribution. Parameter inference using Gibbs …
Persistent link: https://www.econbiz.de/10005440079
Saved in:
3
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
Rombouts, Jeroen V.K.
;
Stentoft, Lars
-
School of Economics and Management, University of Aarhus
-
2010
, and allow for substantial negative
skewness
and time varying higher order moments of the risk neutral distribution. When …
Persistent link: https://www.econbiz.de/10008462026
Saved in:
4
Forecasting with Option Implied Information
Christoffersen, Peter
;
Jacobs, Kris
;
Chang, Bo Young
-
School of Economics and Management, University of Aarhus
-
2011
volatility,
skewness
, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …
Persistent link: https://www.econbiz.de/10009385753
Saved in:
5
Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach
Nonejad, Nima
-
School of Economics and Management, University of Aarhus
-
2013
This paper proposes a model that simultaneously captures long memory and structural breaks. We model structural breaks through irreversible Markov switching or so-called change-point dynamics. The parameters subject to structural breaks and the unobserved states which determine the position of...
Persistent link: https://www.econbiz.de/10010851215
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6
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
School of Economics and Management, University of Aarhus
-
2013
This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights...
Persistent link: https://www.econbiz.de/10010851235
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7
Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008
Nonejad, Nima
-
School of Economics and Management, University of Aarhus
-
2013
The restrictions implied by the theory of time-consistent monetary policy are imposed on empirical data. Model estimation is conducted using Bayesian Markov chain Monte Carlo techniques. We are able to identify two major regimes regarding the policy of the Federal Reserve from 1970 to 2008....
Persistent link: https://www.econbiz.de/10010851240
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8
Forecasting with the Standardized Self-Perturbed Kalman Filter
Grassi, Stefano
;
Nonejad, Nima
;
Magistris, Paolo Santucci de
-
School of Economics and Management, University of Aarhus
-
2014
A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter instability. The perturbationterm in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010851262
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9
A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
Nonejad, Nima
-
School of Economics and Management, University of Aarhus
-
2013
We propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. Our model is an extension of the heterogeneous autoregressive model. Structural breaks occur through mixture distributions in state innovations of linear Gaussian state space models. Monte...
Persistent link: https://www.econbiz.de/10010851263
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10
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Magistris, Paolo Santucci de
-
School of Economics and Management, University of Aarhus
-
2013
The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential indirect inference procedure which adopts as auxiliary model a time-varying generalization of the...
Persistent link: https://www.econbiz.de/10010851276
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