Search Results - subject:"Volatility Model"

An implied volatility model determined by credit default swaps

Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21

Persistent link: https://www.econbiz.de/10009685890

Nearly exact option price simulation using characteristic functions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10009685897

Examining realized volatility regimes under a threshold stochastic volatility model

Xu, Dinghai - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 373-389

Persistent link: https://www.econbiz.de/10009689475

The heat-kernel most-likely-path approximation

Gatheral, Jim; Wang, Tai-Ho - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009541999

Analytical approximation of pricing average options under the Heston model

Yamazaki, Akira - In: Recent advances in financial engineering 2011: …, (pp. 203-220). 2012

Persistent link: https://www.econbiz.de/10009573427

Essays on applications of particle learning in financial econometrics

Rios Arango, Maria Paula - 2012

Persistent link: https://www.econbiz.de/10011819186

Vorschlag eines Bewertungskonzepts von Zertifikaten

Varmaz, Armin; Fieberg, Christian - In: Kredit und Kapital 45 (2012) 2, pp. 243-266

Persistent link: https://www.econbiz.de/10009580913

Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements

Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie - 2004

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the...

Persistent link: https://www.econbiz.de/10010325171

A simple estimation method and finite-sample inference for a stochastic volatility model

VALERY, Pascale - Econometric Society - 2004

The aim of the paper is to fulfill the gap for testing hypotheses on parameters of the log-normal stochastic volatility … model, more precisely, to propose finite sample exact tests in the sense that the tests have correct levels in small samples …

Persistent link: https://www.econbiz.de/10005130214

Specification Testing for Multivariate Time Series Volatility Models

Lee, Yoon-Jin; Hong, Yongmiao - Econometric Society - 2004

impact on the limit distribution of the test statistics. Moreover, there is no need to formulate an alternative volatility … model, and only estimated standardized residuals are needed to implement our tests. We do not have to calculate tedious …

Persistent link: https://www.econbiz.de/10005342373