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Estimating diffusion models of stochastic volatility

Engle, Robert F.; Lee, Gary G. J. - 1995

Persistent link: https://www.econbiz.de/10000930719

Estimation of the stochastic volatility by Markov Chain Monte Carlo

Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998

Persistent link: https://www.econbiz.de/10001301445

Box-Cox stochastic volatility models with heavy-tails and correlated errors

Zhang, Xibin; King, Maxwell L. - 2004

Persistent link: https://www.econbiz.de/10002479501

Markovian approximations of stochastic Volterra equations with the fractional kernel

Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10013490954

Markov-Chain Approximation and Estimation of Nonlinear, Non-Gaussian State Space Models

Farmer, Leland - 2014

I develop a new method for approximating and estimating nonlinear, non-Gaussian state space models. I show that any such model can be well approximated by a discrete-state Markov process and estimated using techniques developed in Hamilton (1989). Through Monte Carlo simulations, I demonstrate...

Persistent link: https://www.econbiz.de/10013048908

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

mathematics for the dynamics of asset prices and their volatility. Calibrating it to real data would be very useful in many … practical scenarios. It is very challenging, however, since the volatility is not directly observable. In this paper, a complete …

Persistent link: https://www.econbiz.de/10014362627