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Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India

Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility …

Persistent link: https://www.econbiz.de/10014500716

Lévy-Vasicek models and the long-bond return process

Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10011889447

Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 61 (2015), pp. 99-109

Persistent link: https://www.econbiz.de/10010515914

Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference

Chang, Hao; Wang, Chunfeng; Fang, Zhenming; Ma, Dan - In: IMA journal of management mathematics 31 (2020) 2, pp. 167-189

Persistent link: https://www.econbiz.de/10012181853

The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293

Persistent link: https://www.econbiz.de/10009489609

Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure

Fergusson, K. - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 867-902

Persistent link: https://www.econbiz.de/10012195006

Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation

Žmuk, Berislav; Kovač, Matej - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 27-42

An accurate weather forecast is the basis for the valuation of weather derivatives, securities that partially compensate for financial losses to holders in case of, from their perspective, adverse outside temperature. The paper analyses precision of two forecast models of average daily...

Persistent link: https://www.econbiz.de/10012264990

Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model

Önalan, Ömer - In: Romanian journal of economic forecasting 25 (2022) 1, pp. 68-84

Persistent link: https://www.econbiz.de/10013411688

Asymptotic Impulse Control of Mean-Reverting Interest Rates with a Slowly Varying Stochastic Volatility

Pun, Chi Seng; Gupta, Rachana - 2021

modelled by an Ornstein—Uhlenbeck (mean-reverting) process with a slowly varying stochastic volatility. The objective of the … adopting an ansatz of a band policy. Due to the complexity introduced by the stochastic volatility, there is no analytical …

Persistent link: https://www.econbiz.de/10013242230

Default risk in stochastic volatility models

Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

Persistent link: https://www.econbiz.de/10008748331