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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

Estimating Correlated Jumps and Stochastic Volatilities

Witzany, Jiri - 2011

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The...

Persistent link: https://www.econbiz.de/10013121407

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

Implied correlations of iTraxx tranches during the financial crisis

Heidorn, Thomas; Kahlert, Dennis - 2010

implied base correlations of iTraxx tranches. -- Implied Correlation ; Asset Correlation ; Systematic Credit Risk ; Market …

Persistent link: https://www.econbiz.de/10003981941

Systematic credit risk in securitised mortgage portfolios

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012659310

Mortgage termination : an empirical hazard model with a stochastic term structure

Deng, Yongheng - In: The journal of real estate finance and economics 14 (1997) 3, pp. 309-331

Persistent link: https://www.econbiz.de/10001222221

Pricing options by simulation using realized volatility

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2009

Persistent link: https://www.econbiz.de/10003869596

Pricing Options with the Stochastic Volatility Regime Simulation for GARCH, HAR GARCH-VIX and VIX Models

Donninger, Chrilly - 2016

This working paper uses as a starting point the filtered historical simulation (FHS) approach developed by Barone … a severe drift-bias. The Stochastic Volatility Regime Simulation (SVRS) avoids the bias by sampling from the same …

Persistent link: https://www.econbiz.de/10012987408

Commodities as assets and consumption goods : implications for the valuation of commodity futures

Markert, Viola - 2006

Persistent link: https://www.econbiz.de/10003313613

Bayesian analysis of asymmetric stochastic conditional duration model

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of forecasting 34 (2015) 1, pp. 36-56

Persistent link: https://www.econbiz.de/10011305352

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