Search Results - subject:"Stochastic volatility."

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George - Duke University, Department of Economics - 2009

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage e®ects relative to returns. At the same time, the volatility risk premium, de¯ned by the di®erence between the risk-neutral and objective expectations of the...

Persistent link: https://www.econbiz.de/10008764951

Valuing options in Heston's stochastic volatility model: Another analytical approach

Frontczak, Robert - Wirtschaftswissenschaftlichen Fakultät, … - 2009

We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based …

Persistent link: https://www.econbiz.de/10009149229

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?

Maheu, John M.; McCurdy, Thomas H. - Rimini Centre for Economic Analysis (RCEA) - 2009

Many finance questions require the predictive distribution of returns. We propose a bivariate model of returns and realized volatility (RV), and explore which features of that time-series model contribute to superior density forecasts over horizons of 1 to 60 days out of sample. This term...

Persistent link: https://www.econbiz.de/10008469827

Local polynomial Whittle estimation of perturbed fractional processes

Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten … - Economics Department, Queen's University - 2009

We propose a semiparametric local polynomial Whittle with noise estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the log-spectrum of the short-memory component of the signal as well as that of the...

Persistent link: https://www.econbiz.de/10008470240

Would the Bundesbank have prevented the Great Inflation in the United States?

Benati, Luca - European Central Bank - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s’ United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank–which is near-universally...

Persistent link: https://www.econbiz.de/10008558915

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

Alòs, Elisa - Department of Economics and Business, Universitat … - 2009

By means of classical Itô's calculus we decompose option prices as the sum of the classical Black-Scholes formula with volatility parameter equal to the root-mean-square future average volatility plus a term due by correlation and a term due to the volatility of the volatility. This...

Persistent link: https://www.econbiz.de/10008558986

An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play

Gonzalez-Astudillo, Manuel - Volkswirtschaftliche Fakultät, … - 2009

reproduce their standard deviation. The filtered stochastic volatility is a good indicator of crises and shows high persistence … Epstein-Zin/Weil preferences in which consumption growth and inflation follow a VAR process with logistic stochastic … volatility. We find that the model can successfully reproduce the first moment of yields and their persistence, but fails to …

Persistent link: https://www.econbiz.de/10008559047

Would the Bundesbank have prevented the Great Inflation in the United States?

Benati, Luca - 2009

Persistent link: https://www.econbiz.de/10011605180

Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility

Faria, Gonçalo; Correia-da-Silva, João; Ribeiro, Cláudia - Faculdade de Economia, Universidade do Porto - 2009

We introduce ambiguity about the variance of the risky asset's return in the model of Chacko and Viceira (2005) for dynamic consumption and portfolio choice with stochastic variance. We find that, with investors being able to update their portfolio continuously (as a function of the...

Persistent link: https://www.econbiz.de/10008457955

Asian Sovereign Debt and Country Risk

Johansson, Anders C. - Stockholm China Economic Research Institute, … - 2009

Thailand. A bivariate stochastic volatility model that allows for time-varying correlation is estimated with Markov Chain Monte …

Persistent link: https://www.econbiz.de/10008458266