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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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Dynamic correlations and optimal hedge rations
Bos, Charles S.; Gould, Phillip - 2007
Persistent link: https://www.econbiz.de/10003482688
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Pawel, Janus; Koopman, Siem Jan - 2009
Persistent link: https://www.econbiz.de/10003913191
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A Bayesian analysis of unobserved componment models using ox
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907811
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907815
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Dynamic correlations and optimal hedge ratios
Bos, Charles S.; Gould, Phillip - 2007
most important factor in reducing portfolio variance is the use of a flexible model for time varying volatility, rather … good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …
Persistent link: https://www.econbiz.de/10011372522
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …
Persistent link: https://www.econbiz.de/10011373822
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …
Persistent link: https://www.econbiz.de/10011374428
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131