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Power law scaling and "Dragon-Kings'' in distributions of intraday financial drawdown
Filimonov, Vladimir; Sornette, Didier - 2014
significant transient dependence between returns and (ii) the presence of large outliers (dragon-kings) characterizing the extreme …
Persistent link: https://www.econbiz.de/10010412365
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Realizing smiles: pricing options with realized volatility
Corsi, Fulvio; Fusari, Nicola; Vecchia, Davide la - 2010
We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …
Persistent link: https://www.econbiz.de/10003973052
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Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model
Thul, Matthias; Zhang, Ally Quan - 2014 - Last Update: May 1, 2014
We generalize the Kou (2002) double exponential jump-diffusion model in two directions. First, we independently displace the two tails of the jump size distribution away from the origin. Second, we allow for each of the displaced tails to follow a gamma distribution with an integer-valued shape...
Persistent link: https://www.econbiz.de/10011875854
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Collateral Smile
Leippold, Markus; Su, Lujing - 2011
prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
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Predictability hidden by anomalous observations
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013
- and out-of-sample, using predictive variables such as the dividend yield or the volatility risk premium …
Persistent link: https://www.econbiz.de/10009721331
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Modified profile likelihood inference and interval forecast of the burst of financial bubbles
Filimonov, Vladimir; Demos, Guilherme; Heinimann, Hans … - 2016
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...
Persistent link: https://www.econbiz.de/10011514498
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Multiple outlier detection in samples with Exponential & Pareto tails : redeeming the inward approach & detecting Dragon Kings
Wheatley, Spencer; Sornette, Didier - 2015
We consider the detection of multiple outliers in Exponential and Pareto samples -- as well as general samples that … block and sequential tests, are compared for their power and errors, in cases including no outliers, dispersed outliers (the … classical slippage alternative), and clustered outliers (a case seldom considered). We advocate a density mixture approach for …
Persistent link: https://www.econbiz.de/10011411972
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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux, Monfort, and Trognon (GMT) (1984) to a situation where the first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...
Persistent link: https://www.econbiz.de/10003970462
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CHICAGO: a fast and accurate method for portfolio risk calculation
Broda, Simon A.; Paolella, Marc S. - 2008
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...
Persistent link: https://www.econbiz.de/10003961455
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - 2011
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10009313940