Search Results - subject:"Stochastic volatility."

Uncertainty shocks and inflation dynamics in the U.S.

Haque, Qazi; Magnusson, Leandro M. - 2020

Persistent link: https://www.econbiz.de/10012601651

Focused Bayesian prediction

Loiza-Maya, Ruben; Martin, Gael M.; Frazier, David T. - 2020

Persistent link: https://www.econbiz.de/10012606751

Unobserved components models with stochastic volatility for extracting trends and cycles in credit

O'Brien, Martin; Velasco, Sofia - 2020

Persistent link: https://www.econbiz.de/10012793058

Application of iterated filtering to stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck process

Szczepocki, Piotr - In: Statistics in transition : an international journal of … 21 (2020) 2, pp. 173-187

Barndorff-Nielsen and Shephard (2001) proposed a class of stochastic volatility models in which the volatility follows …’s stochastic volatility models. …

Persistent link: https://www.econbiz.de/10012257116

How does the volatility of volatility depend on volatility?

Rømer, Sigurd Emil; Poulsen, Rolf - In: Risks : open access journal 8 (2020) 2/59, pp. 1-18

We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance parameter close to that of a log-normal model,...

Persistent link: https://www.econbiz.de/10012292915

Variance and interest rate risk in unit-linked insurance policies

Baños, David; Lagunas-Merino, Marc; Ortiz-Latorre, Salvador - In: Risks : open access journal 8 (2020) 3/84, pp. 1-23

this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with … Norwegian mortality rates. In addition, we compare prices for the classical Black-Scholes model against the Heston stochastic … volatility model with a Vasicek interest rate model. …

Persistent link: https://www.econbiz.de/10012293269