Search Results - subject:"stochastic volatility model"

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011500273

US monetary policy in a globalized world : presented at CESifo Area Conference on Macro, Money & International Finance, February 2016

Crespo Cuaresma, Jesús; Doppelhofer, Gernot; … - 2016

We analyze the interaction between monetary policy in the US and the global economy, using a global vector autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary policy shock leads to a persistent fall in international...

Persistent link: https://www.econbiz.de/10011444866

Robust aspects of hedging and valuation in incomplete markets and related backward SDE theory

Kentia Tonleu, Klébert - 2016

Persistent link: https://www.econbiz.de/10011590047

Early exercise premium method for pricing American options under the J-model

Jerbi, Yacin - In: Financial innovation : FIN 2 (2016) 21, pp. 1-26

Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...

Persistent link: https://www.econbiz.de/10011590292

Loan growth and bank solvency : evidence from the Pakistani banking sector

Kashif, Muhammad; Iftikhar, Syed Faizan; Iftikhar, Khurram - In: Financial innovation : FIN 2 (2016) 22, pp. 1-13

Persistent link: https://www.econbiz.de/10011590309

Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011631770

Understanding the drivers of capital flows into the CESEE countries

Eller, Markus; Huber, Florian; Schuberth, Helene - In: Focus on European economic integration (2016) 2, pp. 79-104

Persistent link: https://www.econbiz.de/10011672408

Heston-type stochastic volatility with a Markov switching regime

Elliott, Robert J.; Nishide, Katsumasa; Osakwe, … - In: The journal of futures markets 36 (2016) 9, pp. 902-919

Persistent link: https://www.econbiz.de/10011568671

Correlations among cryptocurrencies : evidence from multivariate factor stochastic volatility model

Shi, Yongjing; Tiwari, Aviral Kumar; Gozgor, Giray; Lu, Zhou - In: Research in international business and finance 53 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012549821

Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility

Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724

Persistent link: https://www.econbiz.de/10012321867