On the applicability of stochastic volatility models

DOI10.1016/J.CSDA.2006.08.002MaRDI QIDQ1010565zbMATH OpenOpenAlexFDO

Authors Myung Suk Kim, Suojin Wang

Publication date 6 April 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2006.08.002

zbMATH Keywords

Bayesian inferencestochastic volatility modelruns testdrift functionshort interest ratestochastic volatility model with jumpsUS treasury bill yields

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3119645 (Why is no real title available?)
• scientific article; zbMATH DE number 3320839 (Why is no real title available?)
• scientific article; zbMATH DE number 2230347 (Why is no real title available?)
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• A theory of the term structure of interest rates
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On effects of discretization on estimators of drift parameters for diffusion processes
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• The surprise element: Jumps in interest rates.

Cited in

(12)

• Recent developments in volatility modeling and applications
• Implied volatility in oil markets
• Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Complications with stochastic volatility models
• scientific article; zbMATH DE number 5847056 (Why is no real title available?)
• Computational techniques for applied econometric analysis of macroeconomic and financial processes
• Consistent estimation in regression models for the drift function in some continuous time models
• Stochastic volatility and DSGE models
• Stochastic volatility in financial markets. Crossing the bridge to continuous time
• Stochastic models for risk estimation in volatile markets: a survey

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