Download or read book A Stochastic Volatility Model with Markov Switching written by Mike K. P. So and published by . This book was released on 1997 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models written by Roberto Casarin and published by . This book was released on 2006 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a Markov switching stochastic volatility model with heavy tail innovations in the observable process. Due to the economic interpretation of the hidden volatility regimes, these models have many financial applications like asset allocation, option pricing and risk management. The Markov switching process is able to capture clustering effects and jumps in volatility. Heavy tail innovations account for extreme variations in the observed process. Accurate modelling of the tails is important when estimating quantiles is the major interest like in risk management applications. Moreover we follow a Bayesian approach to filtering and estimation, focusing on recently developed simulation based filtering techniques, called Particle Filters. Simulation based filters are recursive techniques, which are useful when assuming non-linear and non-Gaussian latent variable models and when processing data sequentially. They allow to update parameter estimates and state filtering as new observations become available.

Download or read book Heston Type Stochastic Volatility with a Markov Switching Regime written by Robert J. Elliott and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock option. A semi-analytic solution, which contains a matrix ODE is obtained and numerically calculated. Our model is flexible enough to provide a wide variety of volatility surfaces for the same volatility level but different regimes.

Download or read book Particle Filters for Markov Switching Stochastic Volatility Models written by Yun Bao and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility models in which the regime state is governed by a first-order Markov chain. We proposes an ongoing updated Dirichlet distribution to estimate the transition probabilities of the Markov chain in the auxiliary particle filter. A simulation-based algorithm is presented for the method which demonstrated that we are able to estimate a class of models in which the probability that the system state transits from one regime to a different regime is relatively high. The methodology is implemented to analyze a real time series: the foreign exchange rate of Australian dollars vs South Korean won.

Download or read book A Stochastic Volatility Model with Leverage Effect and Regime Switching written by Hong Jiang and published by . This book was released on 2014 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling Stochastic Volatility with Application to Stock Returns written by Mr.Noureddine Krichene and published by International Monetary Fund. This book was released on 2003-06-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion. Filtering showed highly volatile markets, reflecting frequent pertinent news. Diagnostics showed no model failure, although specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential value for market participants in asset pricing and risk management, as well as for policymakers in the design of macroeconomic policies conducive to less volatile financial markets.

Download or read book Regime switching Stochastic Volatility and Short term Interest Rates written by Raúl Susmel and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Applied Quantitative Finance written by Wolfgang Karl Härdle and published by Springer. This book was released on 2017-08-02 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.

Download or read book Markov switching and Stochastic Volatility Diffusion Models of Short term Interest Rates written by Daniel R. Smith and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Efficient Markov Chain Monte Carlo Estimation of the Stochastic Volatility Model with Changing Regimes written by An An Chen and published by . This book was released on 1998 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Volatility and Realized Stochastic Volatility Models written by Makoto Takahashi and published by Springer Nature. This book was released on 2023-04-18 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall. The book also explores an extension of the basic stochastic volatility model, incorporating a skewed return error distribution and a realized volatility measurement equation. The concept of realized volatility, a newly established estimator of volatility using intraday returns data, is introduced, and a comprehensive description of the resulting realized stochastic volatility model is provided. The text contains a thorough explanation of several efficient sampling algorithms for latent log volatilities, as well as an illustration of parameter estimation and volatility prediction through empirical studies utilizing various asset return data, including the yen/US dollar exchange rate, the Dow Jones Industrial Average, and the Nikkei 225 stock index. This publication is highly recommended for readers with an interest in the latest developments in stochastic volatility models and realized stochastic volatility models, particularly in regards to financial risk management.

Download or read book Modeling Stochastic Control Optimization and Applications written by George Yin and published by Springer. This book was released on 2019-07-16 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.

Download or read book Estimation of Stochastic Volatility Models with Markov Chain Monte Carlo Methods written by Maximilian Richter and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov Chain Monte Carlo (MCMC) methods are a Bayesian approach to tackle one of the main obstacles encountered in the estimation of modern-day stochastic volatility models: the curse of dimensionality induced by the increasing number of latent variables. This thesis strives to study the performance of affine jump-diffusion models in comparison to state-of-the-art Lévy-based return dynamics. Thus MCMC methods are applied to a novel dataset of S & P500 returns that comprises different periods of economic turmoil, such as the subprime crisis. The subordinate research goal is to address difficulties in the implementation of the MCMC methodology. In line with previous studies, the results indicate that jump components are indeed crucial for capturing complex patterns like skewness and excess kurtosis of the return distributions. Moreover, infinite-activity Lévy jumps prove to be superior to discrete compound Poisson jumps.

Download or read book Markov Switching Models for Volatility written by Monica Billio and published by . This book was released on 2013 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is devoted to show duality in the estimation of Markov Switching (MS) processes for volatility. It is well-known that MS-GARCH models suffer of path dependence which makes the estimation step unfeasible with usual Maximum Likelihood procedure. However, by rewriting the MS-GARCH model in a suitable linear State Space representation, we are able to give a unique framework to reconcile the estimation obtained by the Kalman Filter and with some auxiliary models proposed in the literature. Reasoning in the same way, we present a linear Filter for MS-Stochastic Volatility (MS-SV) models on which different conditioning sets yield more flexibility in the estimation. Estimation on simulated data and on short-term interest rates shows the feasibility of the proposed approach.

Download or read book Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models written by Siddhartha Chib and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is concerned with simulation based inference in generalized models of stochastic volatility defined by heavy-tailed student-t distributions (with unknown degrees of freedom) and covariate effects in the observation and volatility equations and a jump component in the observation equation. By building on the work of Kim, Shephard and Chib (1998), we develop efficient Markov chain Monte Carlo algorithms for estimating these models. The paper also discusses how the likelihood function of these models can be computed by appropriate particle filter methods. Computation of the marginal likelihood by the method of Chib (1995) is also considered. The methodology is extensively tested and validated on simulated data and then applied in detail to daily returns data on the S&P 500 index where several stochastic volatility models are formally compared under various priors on the parameters.

Download or read book Markov Swtiching and Stochastic Volatility Diffusion Models of Short Term Interest Rates written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Finance Division of the Faculty of Commerce and Business Administration at the University of British Columbia in Vancouver, British Columbia, Canada, presents the full text of a working paper entitled "Markov-Swtiching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates," by Daniel R. Smith. The paper compares the Markov-switching and stochastic volatility diffusion models of short-term interest rates.

Download or read book Calibration of Stochastic Volatility Models Using Particle Markov Chain Monte Carlo Methods written by and published by . This book was released on 2011 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: