The aim of this study is to evaluate some simulation schemes recently suggested for the Heston model by examining their ability in reproducing, on the simulated paths, the autocovariance function of the generated model, when discretely observed. This is done by applying the outcomes of previous...

In this note we generalize the limit results in [Genon-Catalot, Jeantheau, Laredo, 2000, Bernoulli ] for simple stochastic volatility models to the case where a non zero correlation is allowed between the Brownian mo- tion driving the main di¤usion process and the Brownian motion driving the...

In this paper we test for regime changes in the price dynamics of Bitcoin, Ethereum, Litecoin and Monero, as representatives of the cryptocurrencies asset class. Data are observed daily from January, 1, 2016 to October, 15, 2019. Best specifications within Gaussian and Autoregressive Hidden...

In this paper we measure market attention by applying several filters on time series for the trading volume or the SVI Google searches index. We analyze relative impact of these measures either on the mean or on the variance of Bitcoin returns by fitting non linear econometric models to...

In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek the author analyses transaction based as well as popularity based potential...

We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices causing a Bubble effect, the presence of which is...

We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their...

In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with a class of generalized shortfall risk measures. As a...

We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is time varying and follows an affine Garch model, trying...

We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5 year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality...