Search Results - subject:"Stochastic volatility."

Doubly fractional models for dynamic heteroskedastic cycles

González, Arteche; María, Jesús; Escauriaza, Artiach; … - Departamento de Economía Aplicada III (Econometría y … - 2011

Mean Average - Id. Stochastic Volatility) is introduced. A sequential estimation strategy, based on the Whittle …

Persistent link: https://www.econbiz.de/10009197274

Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy

Nakajima, Jouchi; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011

This paper applies the time-varying parameter vector autoregressive model to the Japanese economy. The both parameters and volatilities, which are assumed to follow a random-walk process, are estimated using a Bayesian method with MCMC. The recursive structure is assumed for identification and...

Persistent link: https://www.econbiz.de/10009209767

Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - Fakultät für Wirtschaftswissenschaften, Technische … - 2011

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

Persistent link: https://www.econbiz.de/10009219899

A Robust General Equilibrium Stochastic Volatility Model with Recursive Preference Investors

Xu, Weidong; Li, Hongyi; Wu, Chongfeng - In: Annals of Economics and Finance 12 (2011) 2, pp. 217-231

This paper investigates the implications of model uncertainty for the equity premium in a stochastic volatility model … results show that the equilibrium equity premium consists of a market risk premium, a stochastic volatility risk premium and …

Persistent link: https://www.econbiz.de/10009283247

American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison

Stentoft, Lars - School of Economics and Management, University of Aarhus - 2011

This paper considers discrete time GARCH and continuous time SV models and uses these for American option pricing. We first of all show that with a particular choice of framework the parameters of the SV models can be estimated using simple maximum likelihood techniques. Hence the two types of...

Persistent link: https://www.econbiz.de/10009320846

Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market

Kwiatkowski, Łukasz - In: Central European Journal of Economic Modelling and … 3 (2011) 4, pp. 187-219

companies quoted at the Warsaw Stock Exchange. To this end a stochastic volatility model incorporating Markov switching in …

Persistent link: https://www.econbiz.de/10010615743

A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility

Faria, Gonçalo; Correia-da-Silva, João - Faculdade de Economia, Universidade do Porto - 2011

We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the stochastic process that determines the variance of the underlying asset's return. The option pricing formula of Heston (1993) is a particular case of ours, corresponding to the case in...

Persistent link: https://www.econbiz.de/10010617858

Forecasting volatility: does continuous time do better than discrete time?

Bretó, Carles; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2011

, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model. In continuous …-time, a stochastic volatility model with mean reversion, volatility feedback and leverage. We estimate each model by maximum … forecasts. However, within the stochastic volatility family, we do not find such evidence. We show that volatility feedback may …

Persistent link: https://www.econbiz.de/10009321213

Inflation uncertainty revisited: A proposal for robust measurement

Grimme, Christian; Henzel, Steffen; Wieland, Elisabeth - ifo Leibniz-Institut für Wirtschaftsforschung an der … - 2011

Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information...

Persistent link: https://www.econbiz.de/10009324096

Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information

Park, Beum-Jo - In: Journal for Economic Forecasting (2011) 3, pp. 37-58

information, and proposes a bivariate stochastic volatility model incorporating surprising information in the volatility equations …

Persistent link: https://www.econbiz.de/10009353660