Search Results - subject:"stochastic volatility"

Dakey, Prasad Teja - In: Theoretical and applied economics : GAER review 30 (2023) 2/635, pp. 199-162

Persistent link: https://www.econbiz.de/10014485211

A hybrid stochastic volatility model in a Lévy market

El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: International review of economics & finance : IREF 85 (2023), pp. 220-235

Persistent link: https://www.econbiz.de/10014424191

Effective stochastic local volatility models

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 23 (2023) 12, pp. 1731-1750

Persistent link: https://www.econbiz.de/10014452467

Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model

Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813

Persistent link: https://www.econbiz.de/10014452471

Refined analysis of the no-butterfly-arbitrage domain for SSVI slices

Martini, Claude; Mingone, Arianna - In: The journal of computational finance : JFC 27 (2023) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10014486951

A subdiffusive stochastic volatility jump model

Dupret, Jean-Loup; Hainaut, Donatien - In: Quantitative finance 23 (2023) 6, pp. 979-1002

Persistent link: https://www.econbiz.de/10014304413

Dynamic factor, leverage and realized covariances in multivariate stochastic volatility

Yamauchi, Yuta; Omori, Yasuhiro - In: Econometric reviews 42 (2023) 6, pp. 513-539

Persistent link: https://www.econbiz.de/10014305574

The macroeconomic effect of COVID-induced economic policy uncertainty in Nigeria : a DSGE approach

Adams Adeiza; Oye, Queen Esther; Alege, Philip - In: African journal of economic and management studies 14 (2023) 1, pp. 106-120

Persistent link: https://www.econbiz.de/10014312800

Bayesian estimation and likelihood-based comparison of agent-based volatility models

Bertschinger, Nils; Mozzhorin, Iurii - In: Journal of Economic Interaction and Coordination 16 (2020) 1, pp. 173-210

finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit … and stochastic volatility families. We find that the best agent-based models are on par with stochastic volatility models …

Persistent link: https://www.econbiz.de/10014503765

Energy Markets and Global Economic Conditions

Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas K. - 2020

This paper evaluates alternative indicators of global economic activity and other market fundamentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of the most useful indicators that has been...

Persistent link: https://www.econbiz.de/10012214193