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Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
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Jump-diffusion volatility models for variance swaps : an empirical performance analysis
Jin, Xing; Hong, Yi - In: International review of financial analysis 87 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014457699
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Pricing volatility swaps in the Heston's stochastic volatility model with regime switching : a saddlepoint approximation method
Zhang, Mengzhe; Chan, Leunglung - In: International journal of financial engineering 3 (2016) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10011673092
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Quadratic Hedging Schemes for Non-Gaussian GARCH Models
Badescu, Alex - 2014
We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan's (1995) delta...
Persistent link: https://www.econbiz.de/10013065375
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Non-Gaussian GARCH Option Pricing Models and Their Diffusion Limits
Badescu, Alex - 2015
Hull-White stochastic volatility models. Regardless of the innovations used, the GARCH implied diffusion limit based on the … non-zero market price of volatility risk which is proportional to the market price of the equity risk, where the constant …
Persistent link: https://www.econbiz.de/10013034800
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Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models
Fantazzini, Dean - 2023
probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close …
Persistent link: https://www.econbiz.de/10014350946
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … multivariate stochastic volatility model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …
Persistent link: https://www.econbiz.de/10011809984
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The role of sectoral shifts in the great moderation
Burren, Daniel - 2008
In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar … moderation ; Sectoral Shifts ; Stochastic Volatility ; Wishart Autoregressive Process ; Particle Filter ; ARCH-GARCH ; Bayesian …
Persistent link: https://www.econbiz.de/10003923367
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The dynamic Skellam model with applications
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2014
We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is...
Persistent link: https://www.econbiz.de/10010253460