MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

DOI10.1111/j.1467-9965.1994.tb00057.xzbMath0884.90054OpenAlexW2001772055MaRDI QIDQ4372033

Stephen J. Taylor

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00057.x

zbMATH Keywords

stochastic volatilityconditional heteroskedasticityexchange ratesvolatibility persistence

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic growth models (91B62)

Related Items (99)

Shape-constrained semiparametric additive stochastic volatility models ⋮ Forecast Evaluation in the Presence of Unobserved Volatility ⋮ A score statistic for testing the presence of a stochastic trend in conditional variances ⋮ Long memory with stochastic variance model: a recursive analysis for US inflation ⋮ Robust option pricing ⋮ Econometric estimation in long-range dependent volatility models: theory and practice ⋮ Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models ⋮ Stochastic volatility, smile & asymptotics ⋮ Optimal switching decisions under stochastic volatility with fast mean reversion ⋮ UNIT ROOT TEST WITH HIGH-FREQUENCY DATA ⋮ LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS ⋮ A new filtering inference procedure for a GED state-space volatility model ⋮ The leverage effect puzzle: the case of European sovereign credit default swap market ⋮ Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility ⋮ Estimation of stochastic volatility models with diagnostics ⋮ Asymptotic filtering theory for multivariate ARCH models ⋮ Realistic Statistical Modelling of Financial Data ⋮ The detection and estimation of long memory in stochastic volatility ⋮ American stochastic volatility call option pricing: a lattice based approach ⋮ Fractionally integrated generalized autoregressive conditional heteroskedasticity ⋮ Sample quantile analysis for long-memory stochastic volatility models ⋮ Estimate of a volatility's common component in ARSV models: a simulation study ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market ⋮ Autoregressive inverse Gaussian process and the stochastic volatility modeling ⋮ Review of statistical approaches for modeling high-frequency trading data ⋮ Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus ⋮ A simple joint model for returns, volatility and volatility of volatility ⋮ High‐dimensional sparse multivariate stochastic volatility models ⋮ Student‐t stochastic volatility model with composite likelihood EM‐algorithm ⋮ Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective ⋮ Estimation and asymptotic covariance matrix for stochastic volatility models ⋮ On the excess of average squared error for data-driven bandwidths in nonparametric trend estimation ⋮ Likelihood-free inference in state-space models with unknown dynamics ⋮ Value at risk estimation under stochastic volatility models using adaptive PMCMC methods ⋮ Filtering a nonlinear stochastic volatility model ⋮ STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING ⋮ ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS ⋮ OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST ⋮ Models of asset returns: changes of pattern from high to low event frequency ⋮ Product autoregressive models for non-negative variables ⋮ Efficient likelihood estimation in state space models ⋮ Autoregressive model selection based on a prediction perspective ⋮ Moving average stochastic volatility models with application to inflation forecast ⋮ Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand ⋮ Kalman filter-based modelling and forecasting of stochastic volatility with threshold ⋮ A memory-based method to select the number of relevant components in principal component analysis ⋮ Weak convergence and distributional assumptions for a general class of nonliner arch models ⋮ AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY ⋮ Modeling volatility using state space models with heavy tailed distributions ⋮ Volatility Risk For Regime-Switching Models ⋮ A fast and efficient Markov chain Monte Carlo method for market microstructure model ⋮ An option pricing formula for the GARCH diffusion model ⋮ Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations ⋮ Iterated importance sampling in missing data problems ⋮ LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING ⋮ Filtering and estimation for a class of stochastic volatility models with intractable likelihoods ⋮ On evaluation of strategies of a return process ⋮ Properties of a simple bilinear stochastic model: Estimation and predictability ⋮ An empirical Bayesian forecast in the threshold stochastic volatility models ⋮ TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY? ⋮ Spatio-temporal change-point modeling ⋮ Capturing deep tail risk via sequential learning of quantile dynamics ⋮ Tail behavior of a threshold autoregressive stochastic volatility model ⋮ An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis ⋮ Parametric and nonparametric models and methods in financial econometrics ⋮ Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models ⋮ Evidence of Markov properties of high frequency exchange rate data ⋮ Tractable stochastic analysis in high dimensions via robust optimization ⋮ No-arbitrage, leverage and completeness in a fractional volatility model ⋮ Combining estimating functions for volatility ⋮ Generalized EGARCH Random Effect Models Application to Financial Time Series ⋮ Comparison of value-at-risk models using the MCS approach ⋮ Nonparametric model validations for hidden Markov models with applications in financial econometrics ⋮ Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation ⋮ Interacting multiple try algorithms with different proposal distributions ⋮ Stochastic volatility models for ordinal-valued time series with application to finance ⋮ Estimation of time-varying autoregressive stochastic volatility models with stable innovations ⋮ Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH ⋮ An analytic approximation of the likelihood function for the Heston model volatility estimation problem ⋮ A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering ⋮ Model for dynamic multiple of CPPI strategy ⋮ A neural network enhanced volatility component model ⋮ Divergent Perpetuities Modulated by Regime Switches ⋮ Stationary-increment Student and variance-gamma processes ⋮ Time-delayed stochastic volatility model ⋮ A multiplicative model for volume and volatility ⋮ A Note on Efficient Fitting of Stochastic Volatility Models ⋮ Evaluation of volatility predictions in a VaR framework ⋮ Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study ⋮ Estimation of stochastic volatility models via Monte Carlo maximum likelihood ⋮ Particle learning for Bayesian semi-parametric stochastic volatility model ⋮ Data cloning estimation for asymmetric stochastic volatility models ⋮ A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models ⋮ Option Pricing Under Autoregressive Random Variance Models ⋮ Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns ⋮ Stochastic volatility and option pricing with long-memory in discrete and continuous time ⋮ Markov chain Monte Carlo methods for stochastic volatility models.

Cites Work

• Unnamed Item
• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• ARCH models as diffusion approximations
• Simulated Moments Estimation of Markov Models of Asset Prices
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Price Variability-Volume Relationship on Speculative Markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

This page was built for publication: MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY