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Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models

Liesenfeld, Roman; Richard, Jean-François - In: Econometric reviews 25 (2006) 2/3, pp. 335-360

Persistent link: https://www.econbiz.de/10003355771

Classical and Bayesian analysis of univariate and multivariate stochastic volatility models

Liesenfeld, Roman (contributor); … - 2004 - [Elektronische Ressource]

out ML-estimation of SV models as well as simulation smoothing where the latent volatilities are sampled at once. Based on … this EIS simulation smoother a Bayesian Markov Chain Monte Carlo (MCMC) posterior analysis of the parameters of SV models …

Persistent link: https://www.econbiz.de/10002476893

Hawkes-based models for high frequency financial data

Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185

Persistent link: https://www.econbiz.de/10013532430

Importance sampling for option Greeks with discontinuous payoffs

Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235

Persistent link: https://www.econbiz.de/10011489268

Optimal CAR simulation

Chakroun, Fatma; Abid, Fathi - In: International journal of financial engineering 2 (2015) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10011493106

Computational finance

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...

Persistent link: https://www.econbiz.de/10012309311

Stochastic frontier analysis by means of maximum likelihood and the method of moments

Behr, Andreas (contributor); Tente, Sebastian (contributor) - 2008

of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of … not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two … estimation approaches for both the half-normal and the exponential approach to inefficiency. Based on the simulation results we …

Persistent link: https://www.econbiz.de/10003794513

Modelling stochastic volatility with leverage and jumps : a simulated maximum likelihood approach via particle filtering.

Malik, Sheheryar (contributor); Pitt, Michael K. (contributor) - 2009

In this paper we provide a unifed methodology in order to conduct likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...

Persistent link: https://www.econbiz.de/10003866080

Modelling stochastic volatility with leverage and jumps : a simulated maximum likelihood approach via particle filtering

Malik, Sheheryar; Pitt, Michael K. - 2010

Persistent link: https://www.econbiz.de/10009382185

Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127

Persistent link: https://www.econbiz.de/10011389921

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