Narrow search
Showing 1 - 10 of 239,352
Cover Image
Multivariate Volatility Models : An Application to IBOVESPA and Dow Jones Industrial
Achcar, Jorge - 2012
In this paper, we present a brief description of multivariate GARCH models. Usually, their parameter estimates are obtained using maximum likelihood methods. Considering new methodological processes to model the volatilities of time series, we need to use another inference approach to get...
Persistent link: https://www.econbiz.de/10013099873
Cover Image
Multivariate Volatility Models : An Application to IBOVESPA and Dow Jones Industrial
Achcar, Jorge - 2012
In this paper, we present a brief description of multivariate GARCH models. Usually, their parameter estimates are obtained using maximum likelihood methods. Considering new methodological processes to model the volatilities of time series, we need to use another inference approach to get...
Persistent link: https://www.econbiz.de/10013101092
Cover Image
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 …. Parameter estimation is by Markov Chain Monte Carlo using daily spot index returns from 1987 to 2010. For each index we find …
Persistent link: https://www.econbiz.de/10013142568
Cover Image
Implied Index and Option Pricing Errors : Evidence from the Taiwan Option Market
Wang, Ching-Ping - 2011
implied index value and implied volatility whereas the restricted model only solves the implied volatility. Next, this study … for calls. Volatility for calls has no significant effect on the index pricing error. The path-dependent effect on index …
Persistent link: https://www.econbiz.de/10013123061
Cover Image
Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
Cover Image
A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data
Kapetanios, George - 2009
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We … forecasting using diffusion indices. Journal of Business and Economic Statistics, 20, 147–162] for the stochastic volatility …
Persistent link: https://www.econbiz.de/10013159687
Cover Image
The Effect of Stock Market Indexing on Option Price Efficiency
Chang, Eric C.; Ge, Li; Lin, Tse-Chun; Ma, Xiaorong - 2023
Using local linear regressions based on Russell index reconstitution, we examine how option price efficiency is affected by stock market indexing. We find that put-call parity deviation, a proxy for options price efficiency, is significantly smaller if a stock is at the top of the Russell 2000...
Persistent link: https://www.econbiz.de/10014350633
Cover Image
Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
Giacomini, Enzo - 2017
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10012966268
Cover Image
Modeling Market Volatility with Mixed Exponential Power Asymmetric Conditional Heteroskedasticity : An Application to Shanghai Stock Exchange Composite Index Daily Returns
Shi, Kai - 2012
likelihood estimation makes it more attractive in the applications of risk management of portfolio and VaR calculation …
Persistent link: https://www.econbiz.de/10013103551
Cover Image
Multivariate wishart stochastic volatility and changes in regime
Gribisch, Bastian - 2012
This paper generalizes the basic Wishart multivariate stochastic volatility model of Philipov and Glickman (2006) and … process. The model allows for state-dependent (co)variance and correlation levels and state-dependent volatility spillover …-sample fit and the VaR forecasting performance relative to the basic model. -- Multivariate stochastic volatility ; Dynamic …
Persistent link: https://www.econbiz.de/10009661238