A Simple Approach To The Estimation Of Continuous Time Cev Stochastic Volatility Models Of The Short Term Rate PDF Download
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Author | : Fabio Fornari |
Publisher | : |
Total Pages | : 76 |
Release | : 2001 |
Genre | : Interest rates |
ISBN | : |
Download A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-term Rate Book in PDF, ePub and Kindle
Author | : Fabio FORNARI |
Publisher | : |
Total Pages | : 68 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download A SIMPLE APPROACH TO THE ESTIMATION OF CONTINUOUS TIME CEV STOCHASTIC VOLATILY MODELS OF THE SHORT-TERM RATE Book in PDF, ePub and Kindle
Author | : Fabio FORNARI |
Publisher | : |
Total Pages | : 68 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download A SIMPLE APPROACH TO THE ESTIMATION OF CONTINUOIS TIME CEV STOCHASTIC VOLATILITY MODELS OF THE SHORT-TERM RATE Book in PDF, ePub and Kindle
Author | : Jaya P. N. Bishwal |
Publisher | : Springer Nature |
Total Pages | : 634 |
Release | : 2022-08-06 |
Genre | : Mathematics |
ISBN | : 3031038614 |
Download Parameter Estimation in Stochastic Volatility Models Book in PDF, ePub and Kindle
This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
Author | : Fabio Fornari |
Publisher | : |
Total Pages | : 52 |
Release | : 2001 |
Genre | : Investment analysis |
ISBN | : |
Download Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations Book in PDF, ePub and Kindle
Author | : Fabio Fornari |
Publisher | : |
Total Pages | : 41 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Approximating Volatility Diffusions with Cev-Arch Models Book in PDF, ePub and Kindle
Aim of this article is to judge the empirical performance of Arch as diffusion approximations to models of the short-term rate with stochastic volatility and as filters of the unobserved volatility. We show that the estimation of the continuous time scheme to which a discrete time Arch model converges can be safely based on simple moment conditions linking the discrete time to the continuous time coefficients. A natural substitute of a global specification test for just-identified problems based on indirect inference shows in fact that this approximation to diffusions gives rise to a negligible disaggregation bias. Unlike previous literature in which standard Arch models approximated only specific diffusions, our estimation strategy relies on a new Arch model that approximates any CEV-diffusion model for the conditional volatility. A Monte-Carlo study reveals that the filtering performances of this model are remarkably good, even in the presence of an important kind of misspecification.
Author | : |
Publisher | : |
Total Pages | : 352 |
Release | : 2001 |
Genre | : Economic history |
ISBN | : |
Download Economia internazionale Book in PDF, ePub and Kindle
Author | : Luca Dedola |
Publisher | : |
Total Pages | : 64 |
Release | : 2001 |
Genre | : Euro |
ISBN | : |
Download Money Demand in the Euro Area Book in PDF, ePub and Kindle
Author | : Raffaela Giordano |
Publisher | : |
Total Pages | : 40 |
Release | : 2001 |
Genre | : Budget deficits |
ISBN | : |
Download Optimal Debt Maturity Under EMU Book in PDF, ePub and Kindle
Author | : Luigi Guiso |
Publisher | : |
Total Pages | : 64 |
Release | : 2001 |
Genre | : Agency (Law) |
ISBN | : |
Download Insurance Within the Firm Book in PDF, ePub and Kindle