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Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Fractional integration and fat tails for realized covariance kernels and returns

Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...

Persistent link: https://www.econbiz.de/10011531139

Stochastic Volatility Jump-Diffusions for Equity Index Dynamics

Kaeck, Andreas - 2010

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

Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10010226453

Masoliver, Jaume; Perelló, Josep - In: International journal of theoretical and applied finance 5 (2002) 5, pp. 541-562

Persistent link: https://www.econbiz.de/10001687146

Multiple time scales in volatility and leverage correlations : a stochastic volatility model

Perelló, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe - In: Applied mathematical finance 11 (2004) 1, pp. 27-50

Persistent link: https://www.econbiz.de/10002001537

Stochastic volatility models for the implied correlation index : evidence, properties and pricing

Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012438998

Mean-variance hedging and optimal investment in Heston's model with correlation

Černý, Aleš; Kallsen, Jan - In: Mathematical finance : an international journal of … 18 (2008) 3, pp. 473-492

Persistent link: https://www.econbiz.de/10003752317

Valuing variable annuity guarantees on multiple assets

Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102

Increased correlation among asset classes : Are volatility or jumps to blame, or both?

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 194 (2016) 2, pp. 205-219

Persistent link: https://www.econbiz.de/10011705106

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