Nonparametric Estimation In A Stochastic Volatility Model
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Nonparametric Estimation In A Stochastic Volatility Model
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Author : Jürgen Franke
language : en
Publisher:
Release Date : 1998
Nonparametric Estimation In A Stochastic Volatility Model written by Jürgen Franke and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Nonparametric Estimation Of Stochastic Volatility Models
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Author : Steven Cannon Hogan
language : en
Publisher:
Release Date : 2000
Nonparametric Estimation Of Stochastic Volatility Models written by Steven Cannon Hogan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Nonparametric Estimation In Model With Levy Type Jumps And Stochastic Volatility
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Author : Cecilia Mancini
language : en
Publisher:
Release Date : 2005
Nonparametric Estimation In Model With Levy Type Jumps And Stochastic Volatility written by Cecilia Mancini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Nonparametric Estimation In Models With L Vy Type Jumps And Stochastic Volatility
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Author : Cecilia Mancini
language : en
Publisher:
Release Date : 2005
Nonparametric Estimation In Models With L Vy Type Jumps And Stochastic Volatility written by Cecilia Mancini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Nonparametric Estimation In Models With Levy Type Jumps And Stochastic Volatility
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Author : Cecilia Mancini
language : it
Publisher:
Release Date : 2005
Nonparametric Estimation In Models With Levy Type Jumps And Stochastic Volatility written by Cecilia Mancini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Estimation Of Stochastic Volatility Models With Diagnostics
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Author : A. Ronald Gallant
language : en
Publisher:
Release Date : 2008
Estimation Of Stochastic Volatility Models With Diagnostics written by A. Ronald Gallant and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Efficient Method of Moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score generator. Discrepancies reveal characteristics of data that stochastic volatility models cannot approximate. The two score generators employed here are "Semiparametric ARCH" and "Nonlinear Nonparametric". With the first, the standard model is rejected, although some extensions are accepted. With the second, all versions are rejected. The extensions required for an adequate fit are so elaborate that nonparametric specifications are probably more convenient.
Nonparametric Modelling And Estimation Of Stochastic Volatility
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Author : Andreas Dürkes
language : en
Publisher:
Release Date : 2006
Nonparametric Modelling And Estimation Of Stochastic Volatility written by Andreas Dürkes and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Nonparametric Estimation Of Time Series Volatility Model Estimation
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Author : Teng Tu (Mathematician)
language : en
Publisher:
Release Date : 2018
Nonparametric Estimation Of Time Series Volatility Model Estimation written by Teng Tu (Mathematician) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Electronic dissertations categories.
In this article we consider two estimation methods of a non-parametric volatility model with autoregressive error of order two. The first estimation method based on the two- lag difference. To get a better result, we consider the second approach based on the general quadratic forms. For illustration, we provided several data sets from different simulation models to support the procedures of both two methods, and prove that the second approach can make a better estimation.
Handbook Of Volatility Models And Their Applications
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Author : Luc Bauwens
language : en
Publisher: John Wiley & Sons
Release Date : 2012-03-22
Handbook Of Volatility Models And Their Applications written by Luc Bauwens and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-22 with Business & Economics categories.
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Nonparametric Stochastic Volatility
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Author : Federico M. Bandi
language : en
Publisher:
Release Date : 2018
Nonparametric Stochastic Volatility written by Federico M. Bandi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint evaluation of return and volatility dynamics with nonlinear drift and diffusion functions, nonlinear leverage effects, and jumps in returns and volatility with possibly state-dependent jump intensities, among other features. In the first stage, we identify spot volatility by virtue of jump- robust nonparametric estimates. Using observed prices and estimated spot volatilities, the second stage extracts the functions and parameters driving price and volatility dynamics from nonparametric estimates of the bivariate process' infinitesimal moments. For these infinitesimal moment estimates, we report an asymptotic theory relying on joint in-fill and long-span arguments which yields consistency and weak convergence under mild assumptions.