A Common Jump Factor Stochastic Volatility Model

We introduce a new multivariate stochastic volatility model, based on the presence of a latent common factor with random jumps. The common factor is parameterized as a permanent component using a compound binomial process. This model can capture common jumps in the latent volatilities between markets, with particular relevance in the presence of crises and contagion in emerging markets

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Year of publication:	2017
Authors:	Laurini, Márcio Poletti
Other Persons:	Mauad, Roberto (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory

Extent:	1 Online-Ressource (26 p)
Series:	Finance Research Letters ; Vol. 12, No. 2-10, 2015
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2015 erstellt
Other identifiers:	10.2139/ssrn.3037136 [DOI]
Classification:	c58 ; C53 - Forecasting and Other Model Applications ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012947798