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Stochastic conditional duration model with intraday seasonality and limit order book information

Toyabe, Tomoki; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25

It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...

Persistent link: https://www.econbiz.de/10013471159

Triple regime stochastic volatility model with threshold and leverage effects

Han, Heejoon; Lee, Eunhee - In: The Korean economic review 36 (2020) 2, pp. 481-509

Persistent link: https://www.econbiz.de/10013273019

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

Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?

Li, Chenxing; Zhang, Zehua; Zhao, Ran - In: Finance research letters 67 (2024) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10015062448

Particle Markov chain Monte Carlo techniques of unobserved component time series models using ox

Nonejad, Nima - In: Journal of time series econometrics 8 (2016) 1, pp. 55-90

Persistent link: https://www.econbiz.de/10011440481

Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew student's t-distribution

Nakajima, Jouchi; Omori, Yasuhiro - 2010

Persistent link: https://www.econbiz.de/10003940764

Using revisions as a measure of price index quality in repeat-sales models

Minne, Alex van de; Francke, Marc; Geltner, David; … - In: The journal of real estate finance and economics 60 (2020) 4, pp. 514-553

Persistent link: https://www.econbiz.de/10012226696

Multivariate stochastic volatility models based on generalized Fisher transformation

Chen, Han; Fei, Yijie; Yu, Jun - 2023

Persistent link: https://www.econbiz.de/10014329798

Multiscale stochastic volatility model with heavy tails and leverage effects

Men, Zhongxian; Wirjanto, Tony S.; Kolkiewicz, Adam W. - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-28

This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in … the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms … dependence in return volatility, which is often absent in applications of stochastic volatility models which incorporate leverage …

Persistent link: https://www.econbiz.de/10012587454

A comparison of neural networks and Bayesian MCMC for the Heston model estimation (forget statistics – machine learning is sufficient!)

Witzany, Jiří; Fičura, Milan - 2023

Persistent link: https://www.econbiz.de/10014338462