Search Results - subject:"Volatility Model" - EconBiz

Testing for a Single-Factor Stochastic Volatility in Bivariate Series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of Risk and Financial Management 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10010723461

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of Risk and Financial Management 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011843239

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011555751

Pricing multi-asset American option under Heston stochastic volatility model

Samimi, Oldouz; Mehrdoust, Farshid - In: International journal of financial engineering 5 (2018) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10011923057

Modeling and implementation of local volatility surfaces in Bayesian framework

Animoku, Abdulwahab; Uğur, Ömür; Yolcu-Okur, Yeliz - In: Computational Management Science : CMS 15 (2018) 2, pp. 239-258

Persistent link: https://www.econbiz.de/10011876581

Comparison of the Korean and US stock markets using continuous-time stochastic volatility models

Choi, Seungmoon - In: Han gug gae bal yeon gu 40 (2018) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011954453

Model-based and empirical analyses of stochastic fluctuations in economy and finance

Zadourian, Rubina - 2018

Persistent link: https://www.econbiz.de/10011914214

Non-zero-sum stochastic differential reinsurance and investment games with default risk

Deng, Chao; Zeng, Xudong; Zhu, Huiming - In: European journal of operational research : EJOR 264 (2018) 3, pp. 1144-1158

Persistent link: https://www.econbiz.de/10011802353

GMM estimation of a realized stochastic volatility model : a Monte Carlo study

Chaussé, Pierre; Xu, Dinghai - In: Econometric reviews 37 (2018) 6/10, pp. 719-743

Persistent link: https://www.econbiz.de/10012040406

An empirical study on the measurement and determinants of macroeconomic uncertainty

Ulm, Maren - 2018

Persistent link: https://www.econbiz.de/10012115215

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