Search Results - subject:"Stochastic volatility."

Estimation of long memory in integrated variance

Rossi, Eduardo; Santucci de Magistris, Paolo - Dipartimento di Scienze Economiche e Aziendali, … - 2012

A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is a long memory process of order d, the integrated variance is characterized by the same long-range dependence. We prove that the spectral density of realized variance is given by the sum...

Persistent link: https://www.econbiz.de/10010592258

Baldovin-Stella stochastic volatility process and Wiener process mixtures

Peirano, Pier Paolo; Challet, Damien - HAL - 2012

Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a powerful and consistent way to build a model describing the time evolution of a financial index. We first make it fully explicit by using Student...

Persistent link: https://www.econbiz.de/10010593608

Estimating the Parameters of Stochastic Volatility Models using Option Price Data

Hurn, Stan; Lindsay, Ken; McClelland, Andrew - National Centre for Econometric Research (NCER) - 2012

This paper describes a maximum likelihood method for estimating the parameters of Heston's model of stochastic … volatility using data on an underlying market index and the prices of options written on that index. Parameters of the physical …

Persistent link: https://www.econbiz.de/10010595760

Updating Inflation Expectations

Lamla, Michael J.; Sarferaz, Samad - KOF Swiss Economic Institute, Department of Management, … - 2012

This paper investigates how inflation expectations evolve. In particular, we analyze the time-varying nature of the propensity to update expectations and its potential determinants. For this purpose we set up a flexible econometric model that tracks the formation of inflation expectations of...

Persistent link: https://www.econbiz.de/10010539637

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models

McAleer, Michael; Asai, Manabu; Caporin, Massimiliano - Institute of Economic Research, Kyoto University - 2012

large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic … volatility models. The empirical analysis on stock returns on US market shows that 1% and 5 % Value-at-Risk thresholds based on …

Persistent link: https://www.econbiz.de/10010540176

Common Drifting Volatility in Large Bayesian VARs

CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, Massimiliano - Department of Economics, European University Institute - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally … prior on a common stochastic volatility factor, we derive the posterior densities for the parameters of the resulting BVAR … with common stochastic volatility (BVAR-CSV). Under the chosen prior the conditional posterior of the VAR coefficients …

Persistent link: https://www.econbiz.de/10010540191

Keeping a Finger on the Pulse of the Economy: Nowcasting Swiss GDP in Real-Time Squared

Siliverstovs, Boriss - KOF Swiss Economic Institute, Department of Management, … - 2012

This study evaluates forecasting performance of a large-scale factor model developed in Siliverstovs and Kholodilin (2012) in a genuine ex ante forecasting exercise. We perform our forecast of GDP growth in Switzerland in real time using real-time data vintages collected at weekly frequency....

Persistent link: https://www.econbiz.de/10010541049

What drives option prices ?

Abergel, Frédéric; Zaatour, Riadh - HAL - 2012

tested. Empirical results are confronted with the predictions of stochastic volatility models. The study reveals that while … the modeling of stochastic volatility gives more robust models, the market does not process information on the realized …

Persistent link: https://www.econbiz.de/10010541432

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - Institute of Economic Research, Hitotsubashi University - 2012

&P 500 index options we extend the popular double-jump stochastic volatility model to allow for time-varying risk premia of …

Persistent link: https://www.econbiz.de/10010614050

Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model

Baldeaux, Jan; Badran, Alexander - Finance Discipline Group, Business School - 2012

In this paper quasi-closed-form solutions are derived for the price of equity and VIX derivatives under the assumption that the underlying follows a 3/2 process with jumps in the index. The newly-found formulae allow for an empirical analysis to be performed. In the case of the pure-diffusion...

Persistent link: https://www.econbiz.de/10010616506