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The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23
Persistent link: https://www.econbiz.de/10003955535
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Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 164 (2011) 2, pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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Realized Laplace Transforms for estimation of jump diffusive volatility models
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - 2010
Persistent link: https://www.econbiz.de/10009560323
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Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
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Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor - 2010
We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …
Persistent link: https://www.econbiz.de/10013137409
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Estimating Correlated Jumps and Stochastic Volatilities
Witzany, Jiri - 2011
We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The...
Persistent link: https://www.econbiz.de/10013121407
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The Empirical Performance of Option Based Densities of Foreign Exchange
Craig, Ben R. - 2016
Persistent link: https://www.econbiz.de/10012991281
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A non-parametric estimator for stochastic volatility density
Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367
Persistent link: https://www.econbiz.de/10012655445