Search Results - subject:"Stochastic volatility."

A Fractionally Integrated Wishart Stochastic Volatility Model

Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2013

volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive …There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic …

Persistent link: https://www.econbiz.de/10011257492

On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

The central banks introduce and implement the monetary and financial stabilities policies, going from the accurate estimations of national macro-financial indicators such as the Gross Domestic Product (GDP). Analyzing the dependence of the GDP on the time, the central banks accurately estimate...

Persistent link: https://www.econbiz.de/10011258833

On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10011260821

ВЫЧИСЛЕНИЕ ЦЕН ОПЦИОНОВ МЕТОДАМИ СПЕКТРАЛЬНОГО АНАЛИЗА

ВЛАДИМИРОВИЧ, БУРТНЯК ИВАН; … - In: Бизнес Информ (2013) 3, pp. 152-157

В статье разработан систематический метод вычисления приближенной цены для широкого класса ценных бумаг с помощью инструментов спектрального анализа,...

Persistent link: https://www.econbiz.de/10011216125

Adaptive quadrature for likelihood inference on dynamic latent variable models for time-series and panel data

Cagnone, Silvia; Bartolucci, Francesco - Volkswirtschaftliche Fakultät, … - 2013

). Two examples of such models are the stochastic volatility models for the analysis of financial time-series and the limited …

Persistent link: https://www.econbiz.de/10011114442

Estimating Correlated Jumps and Stochastic Volatilities

Witzany, Jiří - In: Prague Economic Papers 2013 (2013) 2, pp. 251-283

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confi rming importance of incorporation of jumps and stochastic volatility into the model. …

Persistent link: https://www.econbiz.de/10011195567

The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?

Avouyi-Dovi, S.; Horny, G.; Sevestre, P. - Banque de France - 2013

We analyze the dynamics of the bank interest rates on the new short-term loans granted to non-financial corporations in seven countries of the euro area (France, Germany, Greece, Ireland, Italy, Portugal and Spain). Our specification is based on a multivariate diffusion model, involving factors...

Persistent link: https://www.econbiz.de/10010815991

Martingale unobserved component models

Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2013

I discuss models which allow the local level model, which rationalised exponentially weighted moving averages, to have a time-varying signal/noise ratio. I call this a martingale component model. This makes the rate of discounting of data local. I show how to handle such models effectively using...

Persistent link: https://www.econbiz.de/10010823426

High order discretization schemes for stochastic volatility models

Jourdain, Benjamin; Sbai, Mohamed - HAL - 2013

In usual stochastic volatility models, the process driving the volatility of the asset price evolves according to an …

Persistent link: https://www.econbiz.de/10010736427

A Fractionally Integrated Wishart Stochastic Volatility Model

Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2013

volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive …There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic …

Persistent link: https://www.econbiz.de/10010778699