Showing 1 - 10 of 82,973
This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by … the volatility dynamics dVt = κt.(θt − Vt).dt λt.Vt.dBt. This non-affine model is much more realistic than classical … affine models like the Heston stochastic volatility model, even though both are as parsimonious (only four stochastic …
Persistent link: https://www.econbiz.de/10013004351
This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …
Persistent link: https://www.econbiz.de/10013021590
We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, captures the time …
Persistent link: https://www.econbiz.de/10013035796
Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …
Persistent link: https://www.econbiz.de/10012903114
volatility to capture the dynamics of the S&P 500 and three European equity indices. The stochastic volatility models are the … square root variance, GARCH, and log volatility diffusions, and each is augmented with price and volatility jump extensions … that GARCH diffusions augmented with correlated price and volatility jumps outperform other specifications with respect to …
Persistent link: https://www.econbiz.de/10013142568
Affine jump diffusion models in general and affine stochastic volatility models in particular are important modeling … stochastic volatility model, nested in the former as a special case, this paper collects explicit expressions for various …
Persistent link: https://www.econbiz.de/10012893762
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi …
Persistent link: https://www.econbiz.de/10011516036
We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete … series per day varies from 1000 to 10,000. Complexities in the intraday dynamics of volatility and in the frequency of trades … intraday volatility shows that the dynamic modified Skellam model provides accurate forecasts compared to alternative modeling …
Persistent link: https://www.econbiz.de/10011295740
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …
Persistent link: https://www.econbiz.de/10011870651
We propose a simple but rigorous stochastic volatility – stochastic correlation model, formulated as a pair of … correlated CIRCEV and Jacobi processes. Our model proves to fit both marginal and joint distributions of implied volatility and …
Persistent link: https://www.econbiz.de/10012836321