Search Results - subject:"Volatility Model"

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

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and conditions for the existence of moments and...

Persistent link: https://www.econbiz.de/10010731696

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, Massimiliano; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010

Persistent link: https://www.econbiz.de/10008642393

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, M.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010

Persistent link: https://www.econbiz.de/10008677982

Correlations among cryptocurrencies : evidence from multivariate factor stochastic volatility model

Shi, Yongjing; Tiwari, Aviral Kumar; Gozgor, Giray; Lu, Zhou - In: Research in international business and finance 53 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012549821

Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility

Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724

Persistent link: https://www.econbiz.de/10012321867

Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model

Ma, Jingtang; Li, Wenyuan; Zheng, Harry - In: European journal of operational research : EJOR 280 (2020) 2, pp. 428-440

Persistent link: https://www.econbiz.de/10012132415

Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility

Yan, Tingjin; Wong, Hoi Ying - In: Insurance / Mathematics & economics 90 (2020), pp. 105-119

Persistent link: https://www.econbiz.de/10012169507

Static hedges of barrier options under fast mean-reverting stochastic volatility

Huh, Jeonggyu; Jeon, Jaegi; Ma, Yong-Ki - In: Computational economics 55 (2020) 1, pp. 185-210

Persistent link: https://www.econbiz.de/10012222596

Malliavin differentiability of CEV-type Heston model

Tsumurai, Shota - In: Journal of mathematical finance 10 (2020) 1, pp. 173-199

Persistent link: https://www.econbiz.de/10012545592