Search Results - subject:"discrete-time stochastic volatility"

Forecasting volatility: does continuous time do better than discrete time?

Bretó, Carles; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2011

In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model. In continuous-time, a stochastic volatility model with mean reversion,...

Persistent link: https://www.econbiz.de/10009321213

Validity of discrete-time stochastic volatility models in non-synchronous equity markets

Solibakke, Per Bjarte - In: The European Journal of Finance 9 (2003) 5, pp. 420-448

The paper investigates the validity of versions of discrete-time stochastic volatility models for index series known to … the discrete-time stochastic volatility (SV) model. The EMM methodology confronts moment conditions generated by a score … construction shows that a classical discrete time stochastic volatility model is rejected. An extended model incorporating an …

Persistent link: https://www.econbiz.de/10005471922