Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
Sign Up to like & getrecommendations! Published in 2018 at "Empirical Economics"
DOI: 10.1007/s00181-018-1535-3
Abstract: In this paper, we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the jump… read more here.
Keywords: sensitivity; stochastic volatility; robustness sensitivity; volatility models ... See more keywords
Asymptotic expansion for some local volatility models arising in finance
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DOI: 10.1007/s10203-019-00247-w
Abstract: In this paper, we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the… read more here.
Keywords: models arising; finance; volatility models; local volatility ... See more keywords
Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
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DOI: 10.1007/s10479-015-1972-8
Abstract: We introduce a theoretical and empirical method of studying equilibrium-consistent volatility models. We implement it with the market portfolio’s return, which is central to financial risk management. Within an equilibrium framework, we study two families… read more here.
Keywords: equilibrium based; market portfolio; volatility; volatility models ... See more keywords
Lie symmetry methods for local volatility models
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DOI: 10.1016/j.spa.2019.10.009
Abstract: Abstract We investigate PDEs of the form u t = 1 2 σ 2 ( t , x ) u x x − g ( x ) u which are associated with the calculation of… read more here.
Keywords: volatility; volatility models; lie symmetry; symmetry methods ... See more keywords
Asymptotic behaviour of randomised fractional volatility models
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DOI: 10.1017/jpr.2019.27
Abstract: Abstract We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asymptotic properties of the process (small-time and tail behaviours… read more here.
Keywords: randomised fractional; asymptotic behaviour; behaviour randomised; volatility ... See more keywords
Skew selection for factor stochastic volatility models
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DOI: 10.1080/02664763.2019.1646227
Abstract: ABSTRACT This paper proposes factor stochastic volatility models with skew error distributions. The generalized hyperbolic skew t-distribution is employed for common-factor processes and idiosyncratic shocks. Using a Bayesian sparsity modeling strategy for the skewness parameter… read more here.
Keywords: models skew; stochastic volatility; factor stochastic; volatility models ... See more keywords
Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
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DOI: 10.1080/07474938.2019.1630075
Abstract: Abstract We propose a moving average stochastic volatility in mean model and a moving average stochastic volatility model with leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods,… read more here.
Keywords: stochastic volatility; volatility; volatility models; bayesian analysis ... See more keywords
Short-time near-the-money skew in rough fractional volatility models
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DOI: 10.1080/14697688.2018.1529420
Abstract: We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the ‘rough’ regime of Hurst parameter . This regime recently attracted a lot of attention both from the statistical… read more here.
Keywords: time near; volatility; volatility models; money skew ... See more keywords
Regime-Switching Processes and Mean-Reverting Volatility Models in Value-at-Risk Estimation: Evidence from the Taiwan Stock Index
Sign Up to like & getrecommendations! Published in 2019 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2019.1609442
Abstract: ABSTRACT This article develops a model that can accurately forecast the volatility of Taiwan stock returns and efficiently estimate value-at-risk (VaR). Because the volatility in the Taiwan stock market has been shown to die down… read more here.
Keywords: value risk; volatility; volatility models; taiwan stock ... See more keywords