Similar Search Results

A Note on the Wang Transform for Stochastic Volatility Pricing Models

Badescu, Alex - 2016

In this paper we study a conditional version of the Wang transform in the context of discrete GARCH models and their diffusion limits. Our first contribution shows that the conditional Wang transform and Duan's generalized local risk-neutral valuation relationship based on equilibrium...

Persistent link: https://www.econbiz.de/10013003225

The Fiction of Full BEKK

Chang, Chia-Lin - 2017

The purpose of the paper is to (i) show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, that are not consistent with...

Persistent link: https://www.econbiz.de/10012953102

Non-Gaussian GARCH Option Pricing Models and Their Diffusion Limits

Badescu, Alex - 2015

This paper investigates the weak convergence of general non-Gaussian GARCH models together with an application to the pricing of European style options determined using an extended Girsanov principle and a conditional Esscher transform as the pricing kernel candidates. Applying these changes of...

Persistent link: https://www.econbiz.de/10013034800

Quadratic Hedging Schemes for Non-Gaussian GARCH Models

Badescu, Alex - 2014

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan's (1995) delta...

Persistent link: https://www.econbiz.de/10013065375

The dynamic Skellam model with applications

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2014

We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is...

Persistent link: https://www.econbiz.de/10010253460

Best linear unbiased estimate using buys-ballot procedure when trend-cycle component is linear

Iwueze, Iheanyi S.; Nwogu, Eleazar C.; Ajaraogu, Jude C. - In: CBN journal of applied statistics 2 (2011) 1, pp. 15-30

The Best linear unbiased estimate (BLUE) of Buys-Ballot estimates when trend-cycle component is linear are discussed in this paper. The estimates are those proposed by Iwueze and Nwogu (2004). Discussed are the Chain Based Estimation (CBE) method and the Fixed Based Estimation (FBE) method. The...

Persistent link: https://www.econbiz.de/10011477643

Intraday stochastic volatility in discrete price changes : the dynamic Skellam model

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015

We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete stock price changes. The likelihood function for our model is analytically intractable and requires Monte Carlo integration methods for its numerical evaluation. The proposed...

Persistent link: https://www.econbiz.de/10011295740

An hourly periodic state space model for modelling French national electricity load

Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...

Persistent link: https://www.econbiz.de/10011373810

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - 2016

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011556246

A weak bifurcation theory for discrete time stochastic dynamical systems

Diks, Cees G. H.; Wagener, Florian Oskar Ottokar - 2006

This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere … of the system. By introducing a weak equivalence notion of these dependence ratios, we arrive at a bifurcation theory for … which in the compact case, the set of stable (non-bifurcating) systems is open and dense. The theory is illustrated with …

Persistent link: https://www.econbiz.de/10011349208