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Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
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Structural compressed panel VAR with stochastic volatility : a robust Bayesian model averaging procedure
Pacifico, Antonio - In: Econometrics : open access journal 10 (2022) 3, pp. 1-24
predictors, where robust stands for the use of mixtures of proper conjugate priors. Concerning dynamic analysis, volatility …
Persistent link: https://www.econbiz.de/10013459503
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Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
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Predicting volatility based on interval regression models
Qu, Hui; He, Mengying - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-21
Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more … informative price interval data and building interval regression models for volatility forecasting. To characterize the … heterogeneity of the market and the nonlinearity of volatility, we incorporated the heterogeneous autoregressive structure and the …
Persistent link: https://www.econbiz.de/10014284403
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Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - 2015
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011524214
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On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models
Deo, Rohit - 2008
We consider semiparametric estimation of the memory parameter in a long memorystochastic volatility model. We study the … is particularlydesirable in the context of the long memory stochastic volatility model …
Persistent link: https://www.econbiz.de/10012769326
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On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models
Deo, Rohit - 2008
We consider semiparametric estimation of the memory parameter in a long memorystochastic volatility model. We study the … stochastic volatility model …
Persistent link: https://www.econbiz.de/10012769336
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(Non)-Parametric Regressions : Applications to Local Stochastic Volatility Models
Henry-Labordere, Pierre - 2019
-Watson, LP(p)-estimators, spline regressor and random forest. They are then compared when calibrating local stochastic volatility …
Persistent link: https://www.econbiz.de/10012872040
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Generalized jump regressions for local moments
Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
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Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 224 (2021) 1, pp. 215-244
Persistent link: https://www.econbiz.de/10013275373