Search Results - subject:"stochastic volatility"

Navigating high inflation : a joint analysis of inflation dynamics and long-term inflation expectations in Latin America

Garcia, Juan Angel; Gimeno, Ricardo - In: Latin American journal of central banking : LAJCB 5 (2024) 4, pp. 1-21

The return of high inflation in Latin America (and worldwide) since 2021 has renewed concerns about the persistence of above-target inflation and a potential de-anchoring of inflation expectations. This paper shows that trend inflation estimation using forward-looking information can offer...

Persistent link: https://www.econbiz.de/10015358007

Addressing COVID-19 outliers in BVARs with stochastic volatility

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: The review of economics and statistics 106 (2024) 5, pp. 1403-1417

Persistent link: https://www.econbiz.de/10015073219

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2019

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …

Persistent link: https://www.econbiz.de/10012118184

Empirical Option Pricing Models

Bates, David S. - National Bureau of Economic Research - 2021

This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic … volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option …

Persistent link: https://www.econbiz.de/10012794582

Commodity Asian option pricing and simulation in a 4-factor model with jump clusters

Brignone, Riccardo; Gonzato, Luca; Sgarra, Carlo - In: Annals of Operations Research 336 (2023) 1, pp. 275-306

Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient …

Persistent link: https://www.econbiz.de/10015194326

The Social Cost of Carbon under Climate Volatility Risk

Lin, Xu; van Wijnbergen, Sweder - 2023

more frequent disasters for equal expected value. Overall we show that stochastic volatility has a major impact on the SCC …

Persistent link: https://www.econbiz.de/10014321805

Can Communication Mitigate Strategic Delays in Investment Timing?

Mermer, Ayse Gül; Onderstal, Sander; Sonnemans, Joep - 2023

In economic environments, decision-makers can strategically delay irreversible investments to learn from the actions of others. This creates free-riding incentives and can lead to socially suboptimal outcomes. We experimentally examine if and how communication mitigates this free-riding problem...

Persistent link: https://www.econbiz.de/10014321806

Does money growth predict inflation? Evidence from vector autoregressions using four centuries of data

Edvinsson, Rodney; Karlsson, Sune; Österholm, Pär - 2023

estimation methods. Specifically, we employ VAR models with drifting parameters and stochastic volatility which are used to …

Persistent link: https://www.econbiz.de/10014331156

A note of caution on the relation between money growth and inflation

Berger, Helge; Karlsson, Sune; Österholm, Pär - 2023

We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The...

Persistent link: https://www.econbiz.de/10014331161

Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process

Nzokem, Aubain Hilaire - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-28

our analysis show that the five-parameter VG model is a stochastic volatility model with a Γ(»,θ) Ornstein …

Persistent link: https://www.econbiz.de/10014332830