A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680): Difference between revisions

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scientific article; zbMATH DE number 7072673

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English	A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA	scientific article; zbMATH DE number 7072673

Statements

instance of

scholarly article

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title

A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (English)

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International Journal of Theoretical and Applied Finance

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publication date

24 June 2019

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full work available at URL

https://arxiv.org/abs/1712.08329

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zbMATH Keywords

leverage effect

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realized volatility

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mean-reversion

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regime-switch

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parametric estimation

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threshold diffusion

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stock price model

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describes a project that uses

sde

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MaRDI profile type

MaRDI publication profile

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cites work

Q4769776

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Timing in the presence of directional predictability: optimal stopping of skew Brownian motion

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Controlling the occupation time of an exponential martingale

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two

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Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

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A review of threshold time series models in finance

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Empirical properties of asset returns: stylized facts and statistical issues

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SELF EXCITING THRESHOLD INTEREST RATES MODELS

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On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients

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DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE

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Threshold Models for Rainfall and Convection: Deterministic versus Stochastic Triggers

0 references

Simulation and inference for stochastic differential equations. With R examples.

0 references

Mathematical methods for financial markets.

0 references

Oscillating Brownian motion

0 references

Statistical inference for ergodic diffusion processes.

0 references

Q3344924

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Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients

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A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA

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Statistical estimation of the oscillating Brownian motion

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Optimal portfolio in a continuous-time self-exciting threshold model

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On a continuous time stock price model with regime switching, delay, and threshold

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Q4692920

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Arbitrage in skew Brownian motion models

0 references

A self-exciting threshold jump-diffusion model for option valuation

0 references

Quasi-likelihood estimation of a threshold diffusion process

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Option Pricing with Threshold Diffusion Processes

0 references

Threshold models in non-linear time series analysis

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Threshold models in time series analysis -- 30 years on

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Threshold models in time series analysis -- some reflections

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THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS<sup>1</sup>

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The Euler scheme with irregular coefficients

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Identifiers

zbMATH Open document ID

1411.91645

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DOI

10.1142/S0219024919500171

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5384680

@@ Property / author @@
-Paolo Pigato
@@ Property / author: Paolo Pigato / rank @@
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@@ Property / author @@
+Paolo Pigato
@@ Property / author: Paolo Pigato / rank @@
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@@ Property / describes a project that uses @@
+sde
@@ Property / describes a project that uses: sde / rank @@
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@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / arXiv ID @@
+.08329
@@ Property / arXiv ID: 1712.08329 / rank @@
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@@ Property / cites work @@
+Q4769776
@@ Property / cites work: Q4769776 / rank @@
+Normal rank
@@ Property / cites work @@
+Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
+Normal rank
@@ Property / cites work @@
+Controlling the occupation time of an exponential martingale
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two
+Normal rank
@@ Property / cites work @@
+Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
+Normal rank
@@ Property / cites work @@
+A review of threshold time series models in finance
+Normal rank
@@ Property / cites work @@
+Empirical properties of asset returns: stylized facts and statistical issues
+Normal rank
@@ Property / cites work @@
+SELF EXCITING THRESHOLD INTEREST RATES MODELS
@@ Property / cites work: SELF EXCITING THRESHOLD INTEREST RATES MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients
+Normal rank
@@ Property / cites work @@
+DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
+Normal rank
@@ Property / cites work @@
+Threshold Models for Rainfall and Convection: Deterministic versus Stochastic Triggers
+Normal rank
@@ Property / cites work @@
+Simulation and inference for stochastic differential equations. With R examples.
+Normal rank
@@ Property / cites work @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Oscillating Brownian motion
@@ Property / cites work: Oscillating Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical inference for ergodic diffusion processes.
+Normal rank
@@ Property / cites work @@
+Q3344924
@@ Property / cites work: Q3344924 / rank @@
+Normal rank
@@ Property / cites work @@
+Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
+Normal rank
@@ Property / cites work @@
+A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA
+Normal rank
@@ Property / cites work @@
+Statistical estimation of the oscillating Brownian motion
+Normal rank
@@ Property / cites work @@
+Optimal portfolio in a continuous-time self-exciting threshold model
+Normal rank
@@ Property / cites work @@
+On a continuous time stock price model with regime switching, delay, and threshold
+Normal rank
@@ Property / cites work @@
+Q4692920
@@ Property / cites work: Q4692920 / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage in skew Brownian motion models
@@ Property / cites work: Arbitrage in skew Brownian motion models / rank @@
+Normal rank
@@ Property / cites work @@
+A self-exciting threshold jump-diffusion model for option valuation
+Normal rank
@@ Property / cites work @@
+Quasi-likelihood estimation of a threshold diffusion process
+Normal rank
@@ Property / cites work @@
+Option Pricing with Threshold Diffusion Processes
@@ Property / cites work: Option Pricing with Threshold Diffusion Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Threshold models in non-linear time series analysis
+Normal rank
@@ Property / cites work @@
+Threshold models in time series analysis -- 30 years on
+Normal rank
@@ Property / cites work @@
+Threshold models in time series analysis -- some reflections
+Normal rank
@@ Property / cites work @@
+THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+The Euler scheme with irregular coefficients
@@ Property / cites work: The Euler scheme with irregular coefficients / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q128087947
@@ Property / Wikidata QID: Q128087947 / rank @@
+Normal rank