Search Results - subject:"Stochastic volatility."

Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis

Hayes, Dermot; Du, Xiaodong; Yu, Cindy L. - Food and Agricultural Policy Research Institute … - 2009

linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude …

Persistent link: https://www.econbiz.de/10008550543

An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics

Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - Finance Discipline Group, Business School - 2009

stochastic volatility following a square root process as used by Heston (1993), and by a Poisson jump process as introduced by …

Persistent link: https://www.econbiz.de/10008492104

Macroeconomic Forecasting and Structural Change

Giannone, Domenico; D'Agostino, Antonello; Gambetti, Luca - European Centre for Advanced Research in Economics and … - 2009

using a Time-Varying Coe±cients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate predictions …

Persistent link: https://www.econbiz.de/10008530666

Credit gap risk in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2009

to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility …

Persistent link: https://www.econbiz.de/10009642587

l1-Penalized Likelihood Smoothing of Volatility Processes allowing for Abrupt Changes

Neto, David; Sardy, Sylvain; Tseng, Paul - Institut d'Economie et Econométrie, Université de Genève - 2009

. By drawing parallels between time series and regression models, in particular between stochastic volatility models and …

Persistent link: https://www.econbiz.de/10010616290

The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey

Xu, Dinghai - Department of Economics, University of Waterloo - 2009

This paper provides a selected review of the recent developments and applications of mixtures of normal (MN) distribution models in empirical finance. Once attractive property of the MN model is that it is flexible enough to accommodate various shapes of continuous distributions, and able to...

Persistent link: https://www.econbiz.de/10008565181

Dynamics of Biofuel Stock Prices: A Bayesian Approach

Hayes, Dermot; Du, Xiaodong; Yu, Cindy L. - Center for Agricultural and Rural Development (CARD), … - 2009

We use Bayesian Markov Chain Monte Carlo methods to investigate the linkage between the volatility of ethanol security prices and the uncertainty surrounding the profitability of ethanol production and the price variations of non-ethanol energy securities. The joint evolution of return and...

Persistent link: https://www.econbiz.de/10008565413

The multivariate supOU stochastic volatility model

Barndorff-Nielsen, Ole Eiler; Stelzer, Robert - School of Economics and Management, University of Aarhus - 2009

introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence … model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations. In …)OU stochastic volatility models can be combined with a factor modelling approach. …

Persistent link: https://www.econbiz.de/10008566316

Realized Volatility and Multipower Variation

Andersen, Torben G.; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009

This paper reviews basic notions of return variation in the context of a continuous-time arbitrage-free asset pricing model and discusses some of their applications. We first define return variation in the infeasible continuous-sampling case. Then we introduce realized measures obtained from...

Persistent link: https://www.econbiz.de/10008577800

Block Structure Multivariate Stochastic Volatility Models

Asai, M.; Caporin, M. - Erasmus University Rotterdam, Econometric Institute - 2009

large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic … volatility models. …

Persistent link: https://www.econbiz.de/10008584632