Search Results - subject:"Stochastic volatility model"

The macroeconomic impact of global and country-specific climate risk

Byrne, Joseph P.; Vitenu-Sackey, Prince Asare - In: Environmental and resource economics 87 (2024) 3, pp. 655-682

Persistent link: https://www.econbiz.de/10014500378

Signal extraction by the extremum Monte Carlo method

Moussa, Karim - 2024

Persistent link: https://www.econbiz.de/10014512213

Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - 2023

Persistent link: https://www.econbiz.de/10014336459

Volatility predictability in crude oil futures : evidence based on OVX, GARCH and stochastic volatility models

Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - In: Energy strategy reviews 50 (2023), pp. 1-12

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...

Persistent link: https://www.econbiz.de/10014574074

ABC-based forecasting in state space models

Weerasinghe, Chaya; Loiza-Maya, Ruben; Martin, Gael M.; … - 2023

Persistent link: https://www.econbiz.de/10014452518

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2019

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …

Persistent link: https://www.econbiz.de/10012118184

Saddlepoint method for pricing European options under Markov-switching Heston's stochastic volatility model

Zhang, Mengzhe; Chan, Leunglung - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-9

Markov-switching Heston's stochastic volatility model. Under this framework, the expected return and the long-term mean of … evidence that the Markov-switching Heston's stochastic volatility model performs well in capturing major events affecting price … volatility model. …

Persistent link: https://www.econbiz.de/10014332596

Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model

Kunimoto, Noriyuki; Kakamu, Kazuhiko - In: Applied economics 54 (2022) 57, pp. 6536-6550

Persistent link: https://www.econbiz.de/10013494160

Time-varying dynamics of the german business cycle : a comprehensive investigation

Reif, Magnus - In: Oxford bulletin of economics and statistics 84 (2022) 1, pp. 80-102

Persistent link: https://www.econbiz.de/10012818979

Saddlepoint method for pricing European options under Markov-switching Heston’s stochastic volatility model

Zhang, Mengzhe; Chan, Leunglung - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-9

Persistent link: https://www.econbiz.de/10013399717