Search Results - subject:"Stochastic volatility."

Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics

Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1086-1132

Persistent link: https://www.econbiz.de/10013463390

Fast and accurate variational inference for models with many latent variables

Loiza-Maya, Ruben; Smith, Michael S.; Nott, David J.; … - In: Journal of econometrics 230 (2022) 2, pp. 339-362

Persistent link: https://www.econbiz.de/10013463884

Heston-type stochastic volatility with a Markov switching regime

Elliott, Robert J.; Nishide, Katsumasa; Osakwe, … - In: The journal of futures markets 36 (2016) 9, pp. 902-919

Persistent link: https://www.econbiz.de/10011568671

Implications of macroeconomic volatility in the Euro area

Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to …

Persistent link: https://www.econbiz.de/10011984863

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George - In: Econometrics 6 (2018) 2, pp. 1-25

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011995217

An optimal investment strategy for insurers in incomplete markets

Badaoui, Mohamed; Fernández, Begoña; Swishchuk, Anatoliy - In: Risks 6 (2018) 2, pp. 1-23

-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic …

Persistent link: https://www.econbiz.de/10011996589

Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models

Choi, Seungmoon - In: KDI Journal of Economic Policy 40 (2018) 4, pp. 1-22

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007 … stochastic volatility models. To do this we need the transition probability density function (TPDF), but the true TPDF is not … Aït-Sahalia (2008). Among three stochastic volatility models, the Heston model and the CEV model are found to be best for …

Persistent link: https://www.econbiz.de/10012034837

How important are global factors for understanding the dynamics of international capital flows?

Eller, Markus; Huber, Florian; Schuberth, Helene - 2018

We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship …

Persistent link: https://www.econbiz.de/10012042471

Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models

Huber, Florian; Kastner, Gregor; Feldkircher, Martin - 2018

We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in...

Persistent link: https://www.econbiz.de/10012042474

Measuring the origins of macroeconomic uncertainty

Mumtaz, Haroon - 2018

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

Persistent link: https://www.econbiz.de/10012144208