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Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture
Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010473521
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Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
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A stochastic volatility model with realized measures for option pricing
Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
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Modeling the stochastic volatility of MAD/EURO and MAD/USD the exchange rates by the Bayesian approach and the MCMC (Monte Carlo Markov Chain) algorithm
Zakaria, Firano; Benbachir, Anass - In: Journal of modelling in management 18 (2023) 5, pp. 1498-1528
Persistent link: https://www.econbiz.de/10014380957
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Stochastic volatility modelling in portfolio selection via sequential Monte Carlo simulation
Nascimento, Igor Ferreira do; Albuquerque, Pedro H.; … - In: International journal of portfolio analysis and … 2 (2021) 3, pp. 249-267
Persistent link: https://www.econbiz.de/10012595961
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Liquidity regimes and optimal dynamic asset allocation
Collin-Dufresne, Pierre; Daniel, Kent; Sağlam, Mehmet - In: Journal of financial economics 136 (2020) 2, pp. 379-406
Persistent link: https://www.econbiz.de/10012545569
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Statistical modelling of downside risk spillovers
Ahelegbey, Daniel Felix - 2020
Persistent link: https://www.econbiz.de/10012321946
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Volatility estimation using a rational GARCH model
Takaishi, Tetsuya - In: Quantitative finance and economics 2 (2018) 1, pp. 127-136
Persistent link: https://www.econbiz.de/10012137901
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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach
Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16
In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....
Persistent link: https://www.econbiz.de/10014581582
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Improving the robustness of Markov-Switching dynamic factor models with time-varying volatility
Aumond, Romain; Royer, Julien - 2024
Persistent link: https://www.econbiz.de/10014486414