Showing 1 - 10 of 4,709
The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully study the effect different parameterizations of the latent volatility process and the parameters of the volatility process have on the convergence and the mixing behavior of the...
Persistent link: https://www.econbiz.de/10014221761
This paper studies the nonparametric identification and estimation of projected pricing kernels implicit in European option prices and underlying asset returns using conditional moment restrictions. The proposed series estimator avoids computing ratios of estimated risk-neutral and physical...
Persistent link: https://www.econbiz.de/10013226298
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the volatility, the drift, the intensity and the Lévy...
Persistent link: https://www.econbiz.de/10009487321
In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dependent volatility and serial dependence are well established properties of financial time series and our model covers both. To illustrate...
Persistent link: https://www.econbiz.de/10012953054
Persistent link: https://www.econbiz.de/10012583570
Persistent link: https://www.econbiz.de/10012198377
Persistent link: https://www.econbiz.de/10012313515
Persistent link: https://www.econbiz.de/10012135106
Persistent link: https://www.econbiz.de/10012606872
Persistent link: https://www.econbiz.de/10012655445