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Stochastic Volatility Jump-Diffusions for Equity Index Dynamics

Kaeck, Andreas - 2010

volatility to capture the dynamics of the S&P 500 and three European equity indices. The stochastic volatility models are the … square root variance, GARCH, and log volatility diffusions, and each is augmented with price and volatility jump extensions … that GARCH diffusions augmented with correlated price and volatility jumps outperform other specifications with respect to …

Persistent link: https://www.econbiz.de/10013142568

Restatement of the I-O coefficient stability problem

Dobrescu, Emilian - In: Journal of economic structures : JES; the official … 2 (2013), pp. 1-67

The capacity of input-output tables to reflect the structural peculiarities of an economy and to forecast, on this basis, its evolution, depends essentially on the characteristics of the matrix A matrix of I-O (or technical) coefficients. However, the temporal behaviour of these coefficients is...

Persistent link: https://www.econbiz.de/10009783372

Monotonicity of prices in Heston model

Aly, Sidi Mohamed Ould - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10009756039

A parsimonious multi-asset Heston model : calibration and derivative pricing

Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333

Persistent link: https://www.econbiz.de/10009541994

Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure

He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 7, pp. 951-967

Persistent link: https://www.econbiz.de/10014293271

Change-Point Detection in the Covariance Structure of Multivariate Volatility Models

Barassi, Marco R. - 2017

conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …

Persistent link: https://www.econbiz.de/10012945121

Pricing CDOs with a smile : the local correlation model

Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009

Persistent link: https://www.econbiz.de/10003787606

Pricing American options in the Heston model : a close look at incorporating correlation

Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 9-29

Persistent link: https://www.econbiz.de/10009725351

Pricing American options in the Heston model : a close look on incorporating correlation

Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - 2011

Persistent link: https://www.econbiz.de/10009688311

Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10010226453