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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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Realized stochastic volatility models with generalized Gegenbauer long memory
Asai, Manabu; McAleer, Michael; Peiris, Shelton - 2017
RSV-SLM model to three stock market indices. The estimation and forecasting results indicate the adequacy of considering …
Persistent link: https://www.econbiz.de/10011772999
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Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017 - Revised: April 2017
Basmann's seminal work in terms of the estimation of highly non-linear model specifications ("Causality tests and …
Persistent link: https://www.econbiz.de/10011636455
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Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation
Jiang, George J.; Sluis, Pieter J. van der - 1998
thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …
Persistent link: https://www.econbiz.de/10011284060
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Optimal Fourier inversion in semi-analytical option pricing
Lord, Roger; Kahl, Christian - 2007 - This version: 10th May 2007
At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...
Persistent link: https://www.econbiz.de/10011349177
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Why the rotation count algorithm works
Lord, Roger; Kahl, Christian - 2006 - This version: July 17th, 2006
The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages,...
Persistent link: https://www.econbiz.de/10011349189
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016
’s seminal work in terms of the estimation of highly non-linear model specifications ("Causality tests and observationally …
Persistent link: https://www.econbiz.de/10011536626
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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386121
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386124
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Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724148