Search Results - subject:"stochastic volatility models"

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

New volatility models under a Bayesian perspective : a case study

Cuervo, Edilberto Cepeda; Achcar, Jorge Alberto; … - In: Economia aplicada : EA 18 (2014) 2, pp. 179-197

Persistent link: https://www.econbiz.de/10011449738