Search Results - subject:"STOCHASTIC VOLATILITY"

Vector autoregression models with skewness and heavy tails

Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021

Persistent link: https://www.econbiz.de/10012604814

Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021

Persistent link: https://www.econbiz.de/10012605022

A dynamic leverage stochastic volatility model

Nguyen, Hoang; Trong-Nghia Nguyen; Minh-Ngoc Tran - 2021

Persistent link: https://www.econbiz.de/10012605430

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/10012500105

Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; Shin, … - 2021

Persistent link: https://www.econbiz.de/10012651332

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/10012792745

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

Gellert, Karol; Schlögl, Erik - In: Risks : open access journal 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/10012794245

Forecasting stochastic volatility characteristics for the financial fossil oil market densities

Solibakke, Per Bjarte - In: Journal of risk and financial management : JRFM 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/10012794710

Quadrinomial trees with stochastic volatility to value real options

Marín-Sánchez, Freddy H.; Pareja-Vasseur, Julián A.; … - In: Journal of economics, finance & 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/10012813881

A Bayesian semiparametric realized stochastic volatility model

Liu, Jia - In: Journal of risk and financial management : JRFM 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/10012800257