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Volatility, jumps, and predictability of returns : a sequential analysis

Raggi, Davide; Bordignon, Silvano - In: Econometric reviews 30 (2011) 6, pp. 669-695

Persistent link: https://www.econbiz.de/10009269794

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

Persistent link: https://www.econbiz.de/10003770817

Equity index variance : evidence from flexible parametric jump-diffusion models

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103

Persistent link: https://www.econbiz.de/10011816827

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112

Crash Risk in Currency Returns

Chernov, Mikhail - 2015

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian dollar, the British pound, the Swiss franc, and the Japanese yen. The model...

Persistent link: https://www.econbiz.de/10013037072