Search Results - subject:"STOCHASTIC VOLATILITY"

Rodeo or ascot: Which hat to wear at the crypto race?

Häusler, Konstantin; Härdle, Wolfgang - 2021

This paper sheds light on the dynamics of the cryptocurrency (CC) sector. By modeling its dynamics via a stochastic … volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme …

Persistent link: https://www.econbiz.de/10012504530

Financial instability and economic activity

Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold - 2021

We estimate new indices measuring financial and economic (in)stability in Austria and in the euro area. Instead of estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in)stability, where our methodological approach is based on the...

Persistent link: https://www.econbiz.de/10012795748

Quadrinomial trees with stochastic volatility to value real options

Marín-Sánchez, Freddy H.; Pareja-Vasseur, Julián A.; … - In: Journal of Economics, Finance and Administrative Science 26 (2021) 52, pp. 282-299

to assess, based on that, a real option using a quadrinomial tree, including into this valuation the stochastic … volatility of the underlying asset. The main contribution is the formal derivation of a risk-neutral valuation as well as the …

Persistent link: https://www.econbiz.de/10013192207

Quantifying the model risk inherent in the calibration and recalibration of option pricing models

Feng, Yu; Rudd, Ralph; Baker, Christopher; Mashalaba, … - In: Risks 9 (2021) 1, pp. 1-20

extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). We find that recalibrating a …

Persistent link: https://www.econbiz.de/10013200683

Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks 9 (2021) 4, pp. 1-21

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility …

Persistent link: https://www.econbiz.de/10013200730

Mean-reverting 4/2 principal components model: Financial applications

Escobar, Marcos; Gong, Zhenxian - In: Risks 9 (2021) 8, pp. 1-23

volatility and a convenient principal component stochastic volatility (PCSV) decomposition for the stochastic covariance. We find …In this paper, we propose a new multivariate mean-reverting model incorporating state-of-the art 4/2 stochastic …

Persistent link: https://www.econbiz.de/10013200805

Parameter learning and change detection using a particle filter with accelerated adaptation

Gellert, Karol; Schlögl, Erik - In: Risks 9 (2021) 12, pp. 1-18

shifts and stochastic volatility. The filter adapts to regime shifts extremely rapidly and delivers a clear heuristic for … distinguishing between regime shifts and stochastic volatility, even though the model dynamics assumed by the filter exhibit neither …

Persistent link: https://www.econbiz.de/10013200890

A neural network Monte Carlo approximation for expected utility theory

Zhu, Yichen; Escobar, Marcos - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-18

activation functions. The methodology was applied on four settings: a 4/2 stochastic volatility (SV) model with two types of …

Persistent link: https://www.econbiz.de/10013201006

Forecasting stochastic volatility characteristics for the financial fossil oil market densities

Solibakke, Per Bjarte - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-17

This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets … important for market participants, implying predictability. The paper estimates multifactor stochastic volatility models for …

Persistent link: https://www.econbiz.de/10013201194

A Bayesian semiparametric realized stochastic volatility model

Liu, Jia - In: Journal of Risk and Financial Management 14 (2021) 12, pp. 1-22

This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic … volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework …

Persistent link: https://www.econbiz.de/10013201300