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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of Risk and Financial Management 10 (2017) 4, pp. 1-16
corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …
Persistent link: https://www.econbiz.de/10012610989
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Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory …
Persistent link: https://www.econbiz.de/10011526121
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Bayesian estimation of Gegenbauer long memory processes with stochastic volatility : methods and applications
Phillip, Andrew; Chan, Jennifer S. K.; Peiris, Shelton - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011897536
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Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
Duan, Jin-Chuan; Fulop, Andras - 2005
The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10010494319
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Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin; Bianchi, Michele Leonardo; Kim, Young Shin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
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Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
Duan, Jin-Chuan; Fulop, Andras - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2005
The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10005404531
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Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
Duan, Jin-Chuan; Fulop, Andras - ESSEC Business School - 2006
The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … liquidity proxies. A simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10005021638
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Scheduling processes and inference of scheduled events from price data
Leippold, Markus; Svaton, Michal - 2024
Persistent link: https://www.econbiz.de/10014486795
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Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim - School of Economics and Management, University of Aarhus - 2007
Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...
Persistent link: https://www.econbiz.de/10005787563