Computation of volatility in stochastic volatility models with high frequency data
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Fourier transform method for nonparametric estimation of multivariate volatility
- A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
- A Tale of Two Time Scales
- Complete Models with Stochastic Volatility
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Multivariate Stochastic Variance Models
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Simulated Moments Estimation of Markov Models of Asset Prices
- Stochastic calculus of variations in mathematical finance.
- Stock price distributions with stochastic volatility: an analytic approach
- The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
Cited in
(18)- Monte Carlo calibration to implied volatility surface under volatility models
- Fourier series method for measurement of multivariate volatilities
- Estimation of the stochastic leverage effect using the Fourier transform method
- Asymptotic results for the Fourier estimator of the integrated quarticity
- Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data
- Stochastic volatility models including open, close, high and low prices
- Towards a unified framework for high and low frequency return volatility modeling
- Large deviation principle for Volterra type fractional stochastic volatility models
- Dirichlet forms and finite element methods for the SABR model
- High-frequency volatility of volatility estimation free from spot volatility estimates
- Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- Анализ высоковолатильных рынков с использованием метода Берга и фильтров Чебышева II рода и статистическое моделирование риска убыточности его инструментов
- VaR/CVaR estimation under stochastic volatility models
- scientific article; zbMATH DE number 7338946 (Why is no real title available?)
- Short-time near-the-money skew in rough fractional volatility models
- On measuring volatility of diffusion processes with high frequency data
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
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