Search Results - subject:"Stochastic volatility."

The social cost of carbon under climate volatility risk

Lin, Xu; Wijnbergen, Sweder van - 2023

more frequent disasters for equal expected value. Overall we show that stochastic volatility has a major impact on the SCC. …

Persistent link: https://www.econbiz.de/10014290496

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

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368

Persistent link: https://www.econbiz.de/10014292181

Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty

Clements, Michael P.; Galvão, Ana Beatriz C. - In: Journal of applied econometrics 38 (2023) 2, pp. 164-185

Persistent link: https://www.econbiz.de/10014287961

Bayesian optimization of hyperparameters from noisy marginal likelihood estimates

Gustafsson, Oskar; Villani, Mattias; Stockhammar, Pär - In: Journal of applied econometrics 38 (2023) 4, pp. 577-595

Persistent link: https://www.econbiz.de/10014288027

Pricing European options under stochastic volatility models : case of five-parameter variance-gamma process

Nzokem, Aubain Hilaire - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-28

five-parameter VG model is a stochastic volatility model with a Γ(α,θ) Ornstein-Uhlenbeck type process; the associated Lévy …

Persistent link: https://www.econbiz.de/10014288862

A novel stochastic modeling framework for coal production and logistics through options pricing analysis

Alfeus, Mesias; Collins, James - In: Financial innovation : FIN 9 (2023) 1, pp. 1-19

pricing spread options of three assets under the stochastic volatility model. We derive a three-dimensional Fast Fourier … stochastic volatility parameters are obtained by matching the Kurtosis of the low-ash diff data to the Kurtosis of the stochastic … volatility process which is assumed to follow Cox-Ingersoll-Ross ("CIR") model. …

Persistent link: https://www.econbiz.de/10014289024

The valuation of barrier options under a threshold rough Heston model

Tong, Kevin Z.; Liu, Allen - In: Journal of management science and engineering 8 (2023) 1, pp. 15-31

In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional kernel with the CIR process. The new model...

Persistent link: https://www.econbiz.de/10014315774

Investigating economic uncertainty using stochastic volatility in mean VARs : the importance of model size, order-invariance and classification

Davidson, Sharada Nia; Hou, Chenghan; Koop, Gary - 2023

Persistent link: https://www.econbiz.de/10014316038

Macroeconomic effects of fiscal policy during the Covid-19 crisis : evidence from Bolivia at a regional level

Chalup Calmotti, Miguel Sebastiano; Escobar Caba, Luis … - In: Revista de economía del Rosario 26 (2023) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10015080860

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 …

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