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Volatility is log-normal : but not for the reason you think

Tegnér, Martin; Poulsen, Rolf - In: Risks : open access journal 6 (2018) 2, pp. 1-16

It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be...

Persistent link: https://www.econbiz.de/10011866497

Hybrid scheme for Brownian semistationary processes

Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965

Persistent link: https://www.econbiz.de/10011944457

Valuation of long-maturity KIKO options under the stochastic volatility model

Lee, Joon-haeng; Song, Junmo - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 492-529

Persistent link: https://www.econbiz.de/10010407444

Estimating and using GARCH models with VIX data for option valuation

Kanniainen, Juho; Lin, Binghuan; Yang, Hanxue - In: Journal of banking & finance 43 (2014), pp. 200-211

Persistent link: https://www.econbiz.de/10010410004

Calibrating rough volatility models : a convolutional neural network approach

Stone, Henry - In: Quantitative finance 20 (2020) 3, pp. 379-392

Persistent link: https://www.econbiz.de/10012194872

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach …

Persistent link: https://www.econbiz.de/10014362627

Modeling the commodity prices of base metals in Indian commodity market using a higher order Markovian approach

Nag, Suryadeepto; Basu, Sankarshan; Chakrabarty, … - In: Journal of quantitative economics 20 (2022) 1, pp. 159-171

Persistent link: https://www.econbiz.de/10013167352

Editing and multiply imputing German establishment panel data to estimate stochastic production frontier models

Kölling, Arnd; Rässler, Susanne - In: Zeitschrift für ArbeitsmarktForschung - Journal for … 37 (2004) 3, pp. 306-318

when estimation of productivity is the task. To multiply impute the missing data a data augmentation algorithm based on a …

Persistent link: https://www.econbiz.de/10010732112

Editing and multiply imputing German establishment panel data to estimate stochastic production frontier models

Kölling, Arnd; Rässler, Susanne - In: Zeitschrift für ArbeitsmarktForschung - Journal for … 37 (2004) 3, pp. 306-318

when estimation of productivity is the task. To multiply impute the missing data a data augmentation algorithm based on a …

Persistent link: https://www.econbiz.de/10011650571

Sovereign credit ratings, emerging market risk and financial market volatility

Reisen, Helmut; von Maltzan, Julia - In: Intereconomics 33 (1998) 2, pp. 73-82

Persistent link: https://www.econbiz.de/10010270901