Search Results - subject:"Stochastic volatility."

Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound

Baumeister, Christiane; Benati, Luca - 2010

We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a ‘pure’ spread shock which, leaving the short-term rate unchanged by construction,...

Persistent link: https://www.econbiz.de/10011605304

Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR

Mumtaz, Haroon - Bank of England - 2010

autoregression extended to incorporate time-varying coefficients and stochastic volatility in the innovation variances. The reduced …

Persistent link: https://www.econbiz.de/10008457541

Modelling electricity forward markets by ambit fields

Ole E. Barndorff–Nielsen; Benth, Fred Espen; Veraart, … - School of Economics and Management, University of Aarhus - 2010

This paper proposes a new modelling framework for electricity forward markets, which is based on ambit fields. The new model can capture many of the stylised facts observed in energy markets. One of the main differences to the traditional models lies in the fact that we do not model the...

Persistent link: https://www.econbiz.de/10008462018

Maximum likelihood estimation for integrated diffusion processes

Baltazar-Larios, Fernando; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2010

We propose a method for obtaining maximum likelihood estimates of parameters in diffusion models when the data is a discrete time sample of the integral of the process, while no direct observations of the process itself are available. The data are, moreover, assumed to be contaminated by...

Persistent link: https://www.econbiz.de/10008462021

Default risk in stochastic volatility models

Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

Persistent link: https://www.econbiz.de/10008748331

Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425

Alternative tilts for nonparametric option pricing

Haley, M. Ryan; Walker, Todd B. - In: The journal of futures markets 30 (2010) 10, pp. 983-1006

Persistent link: https://www.econbiz.de/10008900930

Computation of volatility in stochastic volatility models with high frequency data

Barucci, Emilio; Mancino, Maria Elvira - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 767-787

Persistent link: https://www.econbiz.de/10008904328

Regime-switching recombining tree for option pricing

Liu, Rui Hua - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 479-499

Persistent link: https://www.econbiz.de/10008904355

Utility maximization in affine stochastic volatility models

Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477

Persistent link: https://www.econbiz.de/10008904356