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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
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Volatility, jumps, and predictability of returns : a sequential analysis
Raggi, Davide; Bordignon, Silvano - In: Econometric reviews 30 (2011) 6, pp. 669-695
Persistent link: https://www.econbiz.de/10009269794
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2023
Persistent link: https://www.econbiz.de/10014448099
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022
This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...
Persistent link: https://www.econbiz.de/10013465942
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Bayesian estimation of the stochastic volatility model with double exponential jumps
Li, Jinzhi - In: Review of derivatives research 24 (2021) 2, pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
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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
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A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
Rodrigues, Paulo - 2009
This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …
Persistent link: https://www.econbiz.de/10012718585
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Modeling of stock indices with HMM-SV models
Nkemnole, E. B.; Wulu, J. T. - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 45-60
Persistent link: https://www.econbiz.de/10011795001