Search Results - subject:"Volatility model"

Analytical pricing of discretely sampled volatility swaps under the 4/2 stochastic volatility model

Rujivan, Sanae; Lim, Seyha; Thamrongrat, Nopporn; … - In: Risks : open access journal 14 (2026) 3, pp. 1-21

/2 stochastic volatility model. The model accommodates a broad range of volatility dynamics by combining affine and inverse … the structural flexibility of the 4/2 stochastic volatility model. Overall, the proposed framework provides an …

Persistent link: https://www.econbiz.de/10015638992

Score-driven time-varying parameter models with splinebased densities

Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025

We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...

Persistent link: https://www.econbiz.de/10015198647

Smile-consistent spread skew

Pirjol, Dan - In: Risks : open access journal 13 (2025) 8, pp. 1-20

-maturity analytical results under the Black-Scholes model and in a local volatility model show good agreement for strikes sufficiently …

Persistent link: https://www.econbiz.de/10015448976

ABC-based forecasting in misspecified state space models

Weerasinghe, Chaya; Loaiza-Maya, Rubén; Martin, Gael M.; … - In: International journal of forecasting 41 (2025) 1, pp. 270-289

Persistent link: https://www.econbiz.de/10015440307

Score-driven time-varying parameter models with splinebased densities

van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan - 2025

Persistent link: https://www.econbiz.de/10015209990

Identifying the number of latent factors of stochastic volatility models

Allaj, Erindi; Mancino, Maria Elvira; Sanfelici, Simona - In: Decisions in economics and finance : a journal of … 48 (2025) 1, pp. 571-602

Persistent link: https://www.econbiz.de/10015593603

Minimax rates for Wasserstein-Kantorovich distribution deconvolution under known ordinary smooth errors and dependent signal processes

Scricciolo, Catia - 2025

Persistent link: https://www.econbiz.de/10015650319

Modeling the volatility of international air freight : a case study of Singapore using the SARIMAX-EGARCH model

Nguyen Quang Hai - In: Journal of air transport management : a new … 117 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015078342

The macroeconomic impact of global and country-specific climate risk

Byrne, Joseph P.; Vitenu-Sackey, Prince Asare - In: Environmental and resource economics 87 (2024) 3, pp. 655-682

Persistent link: https://www.econbiz.de/10014500378

Extreme ATM skew in a local volatility model with discontinuity : joint density approach

Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202

Persistent link: https://www.econbiz.de/10015130561