Download or read book Nonparametric Stochastic Volatility written by Federico M. Bandi and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonparametric Estimation in a Stochastic Volatility Model written by Jürgen Franke and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonparametric Modelling and Estimation of Stochastic Volatility written by Andreas Dürkes and published by . This book was released on 2006 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonparametric Estimation of Stochastic Volatility Models written by Steven Cannon Hogan and published by . This book was released on 2000 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Nonparametric estimation in models with Levy Type Jumps and stochastic volatility written by Cecilia Mancini and published by . This book was released on 2005 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonparametric Estimation in Models with L vy Type Jumps and Stochastic Volatility written by Cecilia Mancini and published by . This book was released on 2005 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonparametric Estimation in Model with Levy Type Jumps and Stochastic Volatility written by Cecilia Mancini and published by . This book was released on 2005 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Bayesian Approach to Value at Risk Using Nonparametric Stochastic Volatility Modeling written by and published by . This book was released on 2015 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Nonparametric Econometrics of Stochastic Volatility written by Yang Zu and published by . This book was released on 2012 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Parametric and Nonparametric Volatility Measurement written by Torben Gustav Andersen and published by . This book was released on 2002 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval, (ii) the ex-ante expected volatility over a fixed time interval, and (iii) the instantaneous volatility corresponding to the strength of the volatility process at a point in time. The parametric procedures rely on explicit functional form assumptions regarding the expected and/or instantaneous volatility. In the discrete-time ARCH class of models, the expectations are formulated in terms of directly observable variables, while the discrete- and continuous-time stochastic volatility models involve latent state variable(s). The nonparametric procedures are generally free from such functional form assumptions and hence afford estimates of notional volatility that are flexible yet consistent (as the sampling frequency of the underlying returns increases). The nonparametric procedures include ARCH filters and smoothers designed to measure the volatility over infinitesimally short horizons, as well as the recently-popularized realized volatility measures for (non-trivial) fixed-length time intervals.

Download or read book Implied Stochastic Volatility Models written by Yacine Ait-Sahalia and published by . This book was released on 2019 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes to build "implied stochastic volatility models" designed to fit option-implied volatility data, and implements a method to construct such models. The method is based on explicitly linking shape characteristics of the implied volatility surface to the specification of the stochastic volatility model. We propose and implement parametric and nonparametric versions of implied stochastic volatility models.

Download or read book Estimation of Stochastic Volatility Models with Diagnostics written by A. Ronald Gallant and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Some Advances in Bayesian Nonparametric Modeling written by Abel Rodriguez and published by ProQuest. This book was released on 2007 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finally, chapter 7 introduces a novel nonparametric prior on the space of stochastic processes that provides a flexible alternative to the Gaussian process. This class of models has few precedents in the literature and is different from the models for collection of distributions that we developed in the first part of the dissertation. As an application, we discuss a stochastic volatility model for option pricing.

Download or read book Stochastic Volatility written by Neil Shephard and published by Oxford University Press, USA. This book was released on 2005 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.

Download or read book Recent Advances and Trends in Nonparametric Statistics written by M.G. Akritas and published by Elsevier. This book was released on 2003-10-31 with total page 524 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of high-speed, affordable computers in the last two decades has given a new boost to the nonparametric way of thinking. Classical nonparametric procedures, such as function smoothing, suddenly lost their abstract flavour as they became practically implementable. In addition, many previously unthinkable possibilities became mainstream; prime examples include the bootstrap and resampling methods, wavelets and nonlinear smoothers, graphical methods, data mining, bioinformatics, as well as the more recent algorithmic approaches such as bagging and boosting. This volume is a collection of short articles - most of which having a review component - describing the state-of-the art of Nonparametric Statistics at the beginning of a new millennium. Key features: . algorithic approaches . wavelets and nonlinear smoothers . graphical methods and data mining . biostatistics and bioinformatics . bagging and boosting . support vector machines . resampling methods

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.