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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an …
Persistent link: https://www.econbiz.de/10009582392
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
Persistent link: https://www.econbiz.de/10001470372
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Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets
Alanya, Willy; Rodriguez, Gabriel - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950003-1-1950003-18
Persistent link: https://www.econbiz.de/10012156142
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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Response of the term structure of forward exchange rate to jump in the interest rate
Li, Xiao-ping; Feng, Yun; Wu, Chong-feng; Xu, Wei-dong - In: Economic modelling 30 (2013), pp. 863-874
Persistent link: https://www.econbiz.de/10009708784
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Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
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Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes : a quasi-likelihood approach
Raknerud, Arvid; Skare, Øivind - 2010
Persistent link: https://www.econbiz.de/10003950031
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Malliavin calculus for the estimation of the U.S. dollar/euro exchange rate when the volatility is stochastic
Abutaleb, Ahmed; Papaioannou, Michael G. - In: Global information technology and competitive financial …, (pp. 71-101). 2006
Persistent link: https://www.econbiz.de/10003380428