Search Results - subject:"stochastic volatility model" - EconBiz

Impact of calendar effects in the volatility of vale shares

Lúcio Godeiro, Lucas - Volkswirtschaftliche Fakultät, … - 2011

. The data researched were the stocks prices Vale between January 2, 1995 and October 26, 2011. The Stochastic Volatility … Model was the Model and the Structural Model was the estimation method used. The results indicate that the privatization and …

Persistent link: https://www.econbiz.de/10011112413

A Robust General Equilibrium Stochastic Volatility Model with Recursive Preference Investors

Xu, Weidong; Li, Hongyi; Wu, Chongfeng - In: Annals of Economics and Finance 12 (2011) 2, pp. 217-231

This paper investigates the implications of model uncertainty for the equity premium in a stochastic volatility model …

Persistent link: https://www.econbiz.de/10009283247

Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information

Park, Beum-Jo - In: Journal for Economic Forecasting (2011) 3, pp. 37-58

information, and proposes a bivariate stochastic volatility model incorporating surprising information in the volatility equations …

Persistent link: https://www.econbiz.de/10009353660

Two stochastic volatility processes : American option pricing

Chiarella, Carl; Ziveyi, Jonathan - 2011

Persistent link: https://www.econbiz.de/10009564619

How crashes develop : intradaily volatility and crash evolution

Bates, David S. - 2016

Persistent link: https://www.econbiz.de/10011451109

On the use of high frequency measures of volatility in MIDAS regressions

Andreou, Elena - 2016

Persistent link: https://www.econbiz.de/10011521697

Forecasting macroeconomic variables under model instability

Gargano, Antonio; Timmermann, Allan - 2016

Persistent link: https://www.econbiz.de/10011521711

On moment non-explosions for Wishart-based stochastic volatility models

Fonseca, José da - In: European journal of operational research : EJOR 254 (2016) 3, pp. 889-894

Persistent link: https://www.econbiz.de/10011521879

On calibration of stochastic and fractional stochastic volatility models

Mrázek, Milan; Pospíšil, Jan; Sobotka, Tomáš - In: European journal of operational research : EJOR 254 (2016) 3, pp. 1036-1046

Persistent link: https://www.econbiz.de/10011522408

Estimating stochastic volatility models using realized measures

Bekierman, Jeremias; Gribisch, Bastian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 279-300

Persistent link: https://www.econbiz.de/10011507527

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