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Estimating and testing skewness in a stochastic volatility model
Lee, Cheol Woo; Kang, Kyu Ho - In: Journal of empirical finance 72 (2023), pp. 445-467
Persistent link: https://www.econbiz.de/10014476881
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Estimating stochastic volatility models using realized measures
Bekierman, Jeremias; Gribisch, Bastian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 279-300
Persistent link: https://www.econbiz.de/10011507527
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
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Estimation of realized asymmetric stochastic volatility models using Kalman filter
Asai, Manabu - In: Econometrics : open access journal 11 (2023) 3, pp. 1-13
Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood...
Persistent link: https://www.econbiz.de/10014425668
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Modeling dependency of volatility on sampling frequency via delay equations
Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 11 (2016) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10011685676
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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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A two-stage realized volatility approach to the estimation for diffusion processes from discrete observations
Phillips, Peter C. B.; Yu, Jun - 2005
Persistent link: https://www.econbiz.de/10003000713
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Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model
Thul, Matthias; Zhang, Ally Quan - 2014 - Last Update: May 1, 2014
We generalize the Kou (2002) double exponential jump-diffusion model in two directions. First, we independently displace the two tails of the jump size distribution away from the origin. Second, we allow for each of the displaced tails to follow a gamma distribution with an integer-valued shape...
Persistent link: https://www.econbiz.de/10011875854
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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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Efficient high-dimensional importance sampling in mixture frameworks
Kleppe, Tore Selland; Liesenfeld, Roman - 2011
This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of …-modal target densities. Our approach is based upon the efficient importance sampling (EIS) approach of Richard and Zhang (2007) and … exploits the mixture structure of the model when constructing importance sampling distributions as mixture of distributions …
Persistent link: https://www.econbiz.de/10009382978