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What Difference Fat Tails Make : A Bayesian MCMC Estimation of Empirical Asset Pricing Models
Glabadanidis, Paskalis - 2017
This chapter presents an empirical application of Bayesian MCMC estimation to the three main asset pricing models in … use in the financial econometrics literature, namely, the Capital Asset Pricing Model (CAPM), the Fama-French (1992) three …
Persistent link: https://www.econbiz.de/10012949435
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Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
Brignone, Riccardo; Gonzato, Luca; Lütkebohmert, Eva - 2022
We propose a general, accurate and fast econometric approach for the estimation of affine option pricing models. The … algorithm belongs to the class of Laplace-Type Estimation (LTE) techniques and exploits Sequential Monte Carlo (SMC) methods. We … estimation by designing a density tempered SMC sampler. We test our algorithm on simulated data by tackling the challenging …
Persistent link: https://www.econbiz.de/10014235890
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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Are Affine Volatility Restrictions Still Costly when the Pricing Kernel is Quadratic?
Aoun, Patrick - 2019
I compare the quadratic kernel used by Christoffersen, Heston and Jacobs (2013) with the commonly used Rubinstein's (1976) power pricing kernel in terms of option valuation performance. I do so in both affine and nonaffine GARCH(1,1) models. I find that, in both cases, the quadratic kernel...
Persistent link: https://www.econbiz.de/10012864828
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Are long-run output growth rates falling?
Li, Mengheng; Mendieta-Muñoz, Ivan - 2018
-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …
Persistent link: https://www.econbiz.de/10011823990
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Estimation and Calibration of a Dynamic Variance Gamma Model Using Vix Data
Mercuri, Lorenzo - 2015
Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate …
Persistent link: https://www.econbiz.de/10013038504
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Measuring Contemporaneous Correlation between Return Shock and Volatility Shock in an EGARCH Model
Yang, Minxian - 2011
the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …
Persistent link: https://www.econbiz.de/10013133961
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Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor - 2010
We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …
Persistent link: https://www.econbiz.de/10013137409
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Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
Todorov, Viktor - 2011
estimation contexts. An empirical application to 5-minute data for three large-cap stocks, 1997-2010, reveals the importance of …
Persistent link: https://www.econbiz.de/10013119658
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Volatility Activity : Specification and Estimation
Todorov, Viktor - 2011
with model estimation for S&P Index returns, suggests that volatility moves are best captured by infinite variation pure …
Persistent link: https://www.econbiz.de/10013119659