It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
Year of publication: |
2015
|
---|---|
Authors: | Grassi, Stefano ; Santucci de Magistris, Paolo |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 30.2015, C, p. 62-78
|
Publisher: |
Elsevier |
Subject: | Time-varying parameters | On-line Kalman filter | Simulation-based inference | Predictive likelihood | Volatility factors |
-
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
Grassi, Stefano, (2013)
-
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
Grassi, Stefano, (2013)
-
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model
Grassi, Stefano, (2013)
- More ...
-
When Long Memory Meets the Kalman Filter : A Comparative Study
Grassi, Stefano, (2011)
-
When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano, (2011)
-
Level shifts and long memory : a state space approach
Delle Monache, Davide, (2015)
- More ...