Search Results - subject:"stochastic volatility"

Estimating Correlated Jumps and Stochastic Volatilities

Witzany, Jiří - In: Prague Economic Papers 2013 (2013) 2, pp. 251-283

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confi rming importance of incorporation of jumps and stochastic volatility into the model. …

Persistent link: https://www.econbiz.de/10011195567

The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?

Avouyi-Dovi, S.; Horny, G.; Sevestre, P. - Banque de France - 2013

We analyze the dynamics of the bank interest rates on the new short-term loans granted to non-financial corporations in seven countries of the euro area (France, Germany, Greece, Ireland, Italy, Portugal and Spain). Our specification is based on a multivariate diffusion model, involving factors...

Persistent link: https://www.econbiz.de/10010815991

Martingale unobserved component models

Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2013

I discuss models which allow the local level model, which rationalised exponentially weighted moving averages, to have a time-varying signal/noise ratio. I call this a martingale component model. This makes the rate of discounting of data local. I show how to handle such models effectively using...

Persistent link: https://www.econbiz.de/10010823426

High order discretization schemes for stochastic volatility models

Jourdain, Benjamin; Sbai, Mohamed - HAL - 2013

In usual stochastic volatility models, the process driving the volatility of the asset price evolves according to an …

Persistent link: https://www.econbiz.de/10010736427

A Fractionally Integrated Wishart Stochastic Volatility Model

Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2013

volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive …There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic …

Persistent link: https://www.econbiz.de/10010778699

Leverage and Feedback Eects on Multifactor Wishart Stochastic Volatility for Option Pricing

Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2013

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which …

Persistent link: https://www.econbiz.de/10010778729

Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section

Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - Norges Bank - 2013

This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes that risk exposures and idiosynchratic volatility follow a break-point...

Persistent link: https://www.econbiz.de/10010787769

Synchronization and Changes in International Inflation Uncertainty

Henzel, Steffen; Wieland, Elisabeth - CESifo - 2013

We investigate the international linkages of inflation uncertainty in the G7. In a first step, we document that inflation uncertainty in the G7 is intertwined. Moreover, the degree of synchronization has increased during the recent two decades. Second, based on a Factor-Structural Vector...

Persistent link: https://www.econbiz.de/10010877745

The Fine Structure of Equity-Index Option Dynamics

Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; … - School of Economics and Management, University of Aarhus - 2013

We analyze the high-frequency dynamics of S&P 500 equity-index option prices by constructing an assortment of implied volatility measures. This allows us to infer the underlying fine structure behind the innovations in the latent state variables driving the movements of the volatility surface....

Persistent link: https://www.econbiz.de/10010851229

Risk premia in energy markets

Veraart, Almut E. D.; Veraart, Luitgard A. M. - School of Economics and Management, University of Aarhus - 2013

Risk premia between spot and forward prices play a key role in energy markets. This paper derives analytic expressions for such risk premia when spot prices are modelled by Lévy semistationary processes. While the relation between spot and forward prices can be derived using classical...

Persistent link: https://www.econbiz.de/10010851272