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Microfoundations for diffusion price processes
Pakkanen, Mikko S. - In: Mathematics and financial economics 3 (2010) 2, pp. 89-114
Persistent link: https://www.econbiz.de/10003983168
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Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market
Mwaniki, Ivivi Joseph - In: Journal of mathematical finance 5 (2015) 1, pp. 15-25
Persistent link: https://www.econbiz.de/10011398581
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …
Persistent link: https://www.econbiz.de/10009767120
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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
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Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
Nakajima, Jouchi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 499-520
Persistent link: https://www.econbiz.de/10010228561
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Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian - 2013
Persistent link: https://www.econbiz.de/10010243571
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Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility
Delatola, Eleni-Ioanna - 2011
This paper presents a method for Bayesian nonparametric analysis of the return distribution in a stochastic volatility … series and two stock index return series. We find that estimates of volatility using the model can differ dramatically from …
Persistent link: https://www.econbiz.de/10013133054
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Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
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Disentangling Continuous Volatility From Jumps in Long-Run Risk-Return Relationships
Jacquier, Eric - 2013
Realized variance can be broken down into continuous volatility and jumps. We show that these two components have very … different predictive powers on future long-term excess stock market returns. While continuous volatility is a key driver of … volatility and future returns. Two by-products of our analysis are that imposing model-based constraints on long term regressions …
Persistent link: https://www.econbiz.de/10013080671