Showing 1 - 10 of 145
This paper examines continuous-time stochastic volatility models incorporating jumps in returns and volatility. We develop a likelihood-based estimation strategy and provide estimates of parameters, spot volatility, jump times, and jump sizes using Samp;P 500 and Nasdaq 100 index returns....
Persistent link: https://www.econbiz.de/10012757280
Persistent link: https://www.econbiz.de/10001762606
Persistent link: https://www.econbiz.de/10003866870
This paper provides an optimal filtering methodology in discretely observed continuous-time jump-diffusion models. Although the filtering problem has received little attention, it is useful for estimating latent states, forecasting volatility and returns, computing model diagnostics such as...
Persistent link: https://www.econbiz.de/10013134593
This paper finds statistically and economically significant out-of-sample portfolio benefits for an investor who uses models of return predictability when forming optimal portfolios. The key is that investors must incorporate an ensemble of important features into their optimal portfolio...
Persistent link: https://www.econbiz.de/10012711166
Persistent link: https://www.econbiz.de/10001568816
Persistent link: https://www.econbiz.de/10002100152
Persistent link: https://www.econbiz.de/10009729949
Persistent link: https://www.econbiz.de/10003759567
Persistent link: https://www.econbiz.de/10003798158