Search Results - subject:"stochastic volatility models"

Stylized Facts and Discrete Stochastic Volatility Models

Sima, Alin - Center for Advanced Research in Finance and Banking … - 2008

This paper highlights the ability of the discrete stochastic volatility models to predict some important properties of …, from this point of view the discrete stochastic volatility models are reliable tools for volatility estimation. …

Persistent link: https://www.econbiz.de/10005036731

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, … - Department of Economics and Business, Universitat … - 2008

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull...

Persistent link: https://www.econbiz.de/10005772513

An empirical application of a two-factor model of stochastic volatility

Kuchynka, Alexandr - In: Prague Economic Papers 2008 (2008) 3, pp. 243-253

This contribution focuses on the modelling of volatility of returns in Czech and US stock markets using a two-factor stochastic volatility model, i.e. the volatility process is modeled as a superposition of two autoregressive processes. As the volatility is not observable, the logarithm of the...

Persistent link: https://www.econbiz.de/10008548665

Volatility extraction using the Kalman filter

Kuchynka, Alexandr - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a superposition of two autoregressive processes which represent the more persistent factor and the quickly mean-reverting factor. As the volatility is not observable, the logarithm of...

Persistent link: https://www.econbiz.de/10005698678

Volatility extraction using the Kalman filter

Kuchynka, Alexandr - 2008

Persistent link: https://www.econbiz.de/10010322165

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

Benabid, Anas; Bensusan, Harry; Karoui, Nicole El - HAL - 2008

evaluation of complex options. Regarding stochastic volatility models, implied volatility surfaces of vanilla options have to be …

Persistent link: https://www.econbiz.de/10008793719

Stochastic Volatility Models for Asset Returns with Leverage, Skewness and Heavy-Tails via Scale Mixture

Huang, Jing-Zhi; Xu, Li - In: Quarterly Journal of Finance (QJF) 04 (2014) 03, pp. 1450011-1

We propose and estimate a new class of equity return models that incorporate scale mixtures of the skew-normal distribution for the error distribution into the standard stochastic volatility framework. The main advantage of our models is that they can simultaneously accommodate the skewness,...

Persistent link: https://www.econbiz.de/10011078375

Stochastic volatility models at ρ=±1 as second class constrained Hamiltonian systems

Contreras G., Mauricio - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 289-302

The stochastic volatility models used in the financial world are characterized, in the continuous-time case, by a set … behaviors are due to a universal property of the stochastic volatility models in the continuum: all of them are second class … fact, for all stochastic volatility models, after integrating over momentum variables, one obtains an effective Euclidean …

Persistent link: https://www.econbiz.de/10011062671

The Bickel–Rosenblatt test for continuous time stochastic volatility models

Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 1, pp. 195-218

In this paper, we consider the Bickel–Rosenblatt test for continuous time stochastic volatility models. The test is …

Persistent link: https://www.econbiz.de/10010994261

Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture

Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10010473521