Search Results - subject:"Stochastic volatility."

The Evaluation Of Barrier Option Prices Under Stochastic Volatility

Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - Finance Discipline Group, Business School - 2010

are driven by stochastic volatility following the square root process of Heston (1993). We develop a method of lines …

Persistent link: https://www.econbiz.de/10008487694

Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes: A quasi-likelihood approach

Raknerud, Arvid; Skare, Øivind - Statistisk Sentralbyrå, Government of Norway - 2010

This paper extends the ordinary quasi-likelihood estimator for stochastic volatility models based on non …

Persistent link: https://www.econbiz.de/10008488941

Non-linear DSGE Models and The Central Difference Kalman Filter

Andreasen, Martin M. - School of Economics and Management, University of Aarhus - 2010

order approximation. These results hold even when structural shocks are Gaussian, Laplace distributed, or display stochastic … volatility. …

Persistent link: https://www.econbiz.de/10008490349

Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications

Chiarella, Carl; Hsiao, Chih-Ying - Finance Discipline Group, Business School - 2010

This paper studies the impact of stochastic volatility (SV) on optimal investment decisions. We consider three …

Persistent link: https://www.econbiz.de/10008492101

The Effects of Monetary Policy Commitment: Evidence from Time- varying Parameter VAR Analysis

Nakajima, Jouchi; Shiratsuka, Shigenori; Teranishi, Yuki - Institute for Monetary and Economic Studies, Bank of Japan - 2010

-varying parameters estimation technique with stochastic volatility. We show empirical evidence on two points. First, the BOJ's policy …

Persistent link: https://www.econbiz.de/10008494217

The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model

Christensen, Bent Jesper; Posedel, Petra - School of Economics and Management, University of Aarhus - 2010

We study the risk premium and leverage effect in the S&P500 market using the stochastic volatility-in-mean model of …

Persistent link: https://www.econbiz.de/10008525437

"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio"

Théoret, Raymond; Racicot, François-Éric - Volkswirtschaftliche Fakultät, … - 2010

In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter … using stochastic models developed by Taylor (1986,1994) and Nelson (1990). First, we compare a stochastic volatility model … short-term interest rates. When comparing the profile of the interest rate stochastic volatility to the conditional one, we …

Persistent link: https://www.econbiz.de/10009418474

Second-Order Approximation of Dynamic Models with Time-Varying Risk

Benigno, Gianluca; Benigno, Pierpaolo; Nisticò, Salvatore - Centre for Economic Performance, LSE - 2010

This paper provides first and second-order approximation methods for the solution of nonlinear dynamic stochastic models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk. The first-order approximation is consistent with a...

Persistent link: https://www.econbiz.de/10009643567

Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework

Kwiatkowski, Łukasz - In: Central European Journal of Economic Modelling and … 2 (2010) 1, pp. 59-94

In the study we introduce an extension to a stochastic volatility in mean model (SV-M), allowing for discrete regime …

Persistent link: https://www.econbiz.de/10010615740

FX Smile in the Heston Model

Janek, Agnieszka; Kluge, Tino; Weron, Rafal; Wystup, Uwe - Hugo Steinhaus Center for Stochastic Methods, … - 2010

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the …

Persistent link: https://www.econbiz.de/10009323911