Search Results - subject:"Diffusion Process"

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2004

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...

Persistent link: https://www.econbiz.de/10005605330

Empirical comparisons in short-term interest rate models using nonparametric methods

Arapis, Manuel; Gao, Jiti - Volkswirtschaftliche Fakultät, … - 2004

This study applies the nonparametric estimation procedure to the diffusion process modeling the dynamics of short …

Persistent link: https://www.econbiz.de/10005786891

Approximation of A Jump-Diffusion Process

Lee, Sanghoon - Econometric Society - 2004

We present a weak convergence of a discrete time process to a jump-diffusion process as the length of sampling interval … time ARCH process as an approximation of a jump-diffusion process in estimation and forecasting. And we may use the jump-diffusion … process as an approximation of ARCH process when there is distributional results available for the jump-diffusion limit of the …

Persistent link: https://www.econbiz.de/10005130234

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Vetter, Mathias; Podolskij, Mark; Dette, Holger - Institut für Wirtschafts- und Sozialstatistik, … - 2004

the diffusion process Xt itself and we use this result to develop a bootstrap test for the parametric form of the …

Persistent link: https://www.econbiz.de/10009216870

Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - International Monetary Fund (IMF) - 2003

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...

Persistent link: https://www.econbiz.de/10005826355

Quasi-likelihood analysis for the stochastic differential equation with jumps

Ogihara, T.; Yoshida, N. - In: Statistical Inference for Stochastic Processes 14 (2011) 3, pp. 189-229

Persistent link: https://www.econbiz.de/10009325263

In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008

Swanson, Norman R.; Cai, Lili - Department of Economics, Rutgers University-New Brunswick - 2011

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...

Persistent link: https://www.econbiz.de/10009372746

Goodness of fit test for small diffusions by discrete time observations

Negri, Ilia; Nishiyama, Yoichi - In: Annals of the Institute of Statistical Mathematics 63 (2011) 2, pp. 211-225

Persistent link: https://www.econbiz.de/10008925544

Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

Yoshida, Nakahiro - In: Annals of the Institute of Statistical Mathematics 63 (2011) 3, pp. 431-479

Persistent link: https://www.econbiz.de/10008925568

In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982 - 2008

Cai, Lili; Swanson, Norman R. - In: Journal of empirical finance 18 (2011) 4, pp. 743-764

Persistent link: https://www.econbiz.de/10009306528