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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

mathematics for the dynamics of asset prices and their volatility. Calibrating it to real data would be very useful in many … practical scenarios. It is very challenging, however, since the volatility is not directly observable. In this paper, a complete …

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

Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility

Huang, Jing-Zhi; Huang, Zhijian; Xu, Li - In: The quarterly journal of finance 11 (2021) 2, pp. 1-37

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Humps in the volatility structure of the crude oil futures market : new evidence

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000

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Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets

Fileccia, Gaetano; Sgarra, Carlo - In: International journal of computational economics and … 5 (2015) 4, pp. 451-479

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A comparative study of factor models for different periods of the electricity spot price market

Laudagé, Christian; Aichinger, Florian; Desmettre, Sascha - In: Journal of commodity markets : JCM 36 (2024), pp. 1-29

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MCMC methods for continuous-time financial econometrics

Johannes, Michael; Polson, Nicholas G. - 2010

Persistent link: https://www.econbiz.de/10003900732

Bayesian estimation of asymmetric jump-diffusion processes

Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29

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Sequential bayesian learning for stochastic volatility with variance-gamma jumps in returns

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Bayesian DEJD model and detection of asymmetry in jump sizes

Kostrzewski, Maciej - In: Central European journal of economic modelling and … 7 (2015) 1, pp. 43-70

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Estimating stochastic volatility with jumps and asymmetry in Asian markets

Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153

Persistent link: https://www.econbiz.de/10012003495