Similar Search Results

Particle Filters for Markov Switching Stochastic Volatility Models

Bao, Yun; Chiarella, Carl; Kang, Boda - 2012

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility models in which the regime state is governed by a first-order Markov chain. We proposes an ongoing updated Dirichlet distribution to estimate the transition probabilities of the...

Persistent link: https://www.econbiz.de/10014164616

A Stochastic Optimal Control for Max-Min Utility with Volatility Ambiguity

Yang, Shuzhen - 2014

In this paper, we study a stochastic optimal control for max-min utility admitting volatility ambiguity. By standard …

Persistent link: https://www.econbiz.de/10013048206

On the economic benefit of utility based estimation of a volatility model

Clements, Adam; Silvennoinen, Annastiina - 2009

Persistent link: https://www.econbiz.de/10003880634

Ambiguous volatility, possibility and utility in continuous time

Epstein, Larry G.; Jib, Shaolin - In: Journal of mathematical economics 50 (2014), pp. 269-282

Persistent link: https://www.econbiz.de/10010478634

Optimal buffer stocks and precautionary savings with disappointment aversion

Aizenman, Joshua - 1995

Persistent link: https://www.econbiz.de/10000935902

Ambiguous Volatility and Asset Pricing in Continuous Time

Epstein, Larry G. - 2013

This paper formulates a model of utility for a continuous time frame-work that captures the decision-maker's concern … with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are …, sharper predictions can be obtained by assuming preference maximization and equilibrium. Thus we apply the model of utility to …

Persistent link: https://www.econbiz.de/10013088933