Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models

DOI10.1016/J.JECONOM.2005.03.016zbMath1344.91016OpenAlexW2040115600MaRDI QIDQ274920

Garland B. Durham

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://digitalcommons.calpoly.edu/fin_fac/16

zbMATH Keywords

stochastic volatilitystock returnsmodel diagnosticssimulation-based estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

Related Items (16)

A flexible and automated likelihood based framework for inference in stochastic volatility models ⋮ Extended stochastic volatility models incorporating realised measures ⋮ Testing the assumptions behind importance sampling ⋮ Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models ⋮ Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling ⋮ A triple-threshold leverage stochastic volatility model ⋮ Maximum likelihood estimation of latent Markov models using closed-form approximations ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ Maximum likelihood estimation of partially observed diffusion models ⋮ A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility ⋮ Bayesian semiparametric stochastic volatility modeling ⋮ Integrated variance forecasting: model based vs. reduced form ⋮ Simple estimators and inference for higher-order stochastic volatility models ⋮ American option pricing under GARCH diffusion model: an empirical study ⋮ Simulation-Based Estimation Methods for Financial Time Series Models ⋮ Semiparametric stochastic volatility modelling using penalized splines

Uses Software

• BayesDA

Cites Work

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• Filtering via Simulation: Auxiliary Particle Filters
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• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
• Modeling and Forecasting Realized Volatility

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