Search Results - subject:"stochastic volatility model"

Moments Structure of l1-Stochastic Volatility Models

Neto, David; Sardy, Sylvain - Institut d'Economie et Econométrie, Université de Genève - 2008

We consider Taylor's stochastic volatility model when the innovations of the hidden log-volatility process have a …

Persistent link: https://www.econbiz.de/10010616292

Realized stochastic volatility with leverage and long memory

Shirota, Shinichiro; Hizu, Takayuki; Omori, Yasuhiro - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 618-641

The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with … leverage and long memory. The dependent variable in the stochastic volatility model is the logarithm of the squared return, and …

Persistent link: https://www.econbiz.de/10010776990

Asymmetric Information and Volatility Forecasting in Commodity Futures Markets

Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin Finance Journal 26 (2014) C, pp. 79-97

This paper investigates the asymmetric characteristics of returns and volatilities of various Chinese commodity futures within the threshold stochastic volatility (THSV) framework with various distribution assumptions. To gauge the capabilities of THSV models in volatility forecasting, the...

Persistent link: https://www.econbiz.de/10010753126

Pricing multiasset cross-currency options

Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 34 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010254960

Valuation of long-maturity KIKO options under the stochastic volatility model

Lee, Joon-haeng; Song, Junmo - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 492-529

Persistent link: https://www.econbiz.de/10010407444

Asymmetric information and volatility forecasting in commodity futures markets

Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin finance journal 26 (2014), pp. 79-97

Persistent link: https://www.econbiz.de/10010498758

A Taylor series approach to pricing and implied volatility for local-stochastic volatility models

Loring, Matthew; Pagliarani, Stefano; Pascucci, Andrea - In: Journal of risk 17 (2014/15) 2, pp. 3-19

Persistent link: https://www.econbiz.de/10010476250

Numerical experiments on hedging cliquet options

Kilin, Fiodar; Nalholm, Morten; Wystup, Uwe - In: Journal of risk 17 (2014/15) 1, pp. 85-103

Persistent link: https://www.econbiz.de/10010476251

Are traders' rules useful for pricing options? : evidence from intraday data

Kim, Sol - In: Journal of risk 17 (2014/15) 1, pp. 63-84

Persistent link: https://www.econbiz.de/10010476252

Asymptotic chaos expansions in finance : theory and practice

Nicolay, David - 2014

Persistent link: https://www.econbiz.de/10013548147