COMFORT: a common market factor non-Gaussian returns model

DOI10.1016/J.JECONOM.2015.02.041MaRDI QIDQ2347735zbMATH OpenOpenAlexFDO

Authors Marc S. Paolella, Paweł Polak

Publication date 8 June 2015

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

Full work available at URL https://www.zora.uzh.ch/id/eprint/119579/6/COMFORT.pdf

zbMATH Keywords

GARCHstochastic volatilityEM-algorithmdensity forecastingfat tailsCCCcommon jumpsmultivariate generalized hyperbolic distributionmultivariate option pricingmultivariate asymmetric variance gamma distribution

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Alternative models for stock price dynamics.
• Empirical martingale simulation for asset prices
• Financial returns modelled by the product of two stochastic processes -- a study of daily sugar prices, 1961--79
• Hyperbolic distributions in finance
• Intermediate Probability
• Jump tails, extreme dependencies, and the distribution of stock returns
• Moments of the generalized hyperbolic distribution
• Multivariate Stochastic Volatility: A Review
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• Option valuation with conditional skewness
• Portfolio choice with jumps: a closed-form solution
• Regime switching for dynamic correlations
• Risk, jumps, and diversification
• THE GARCH OPTION PRICING MODEL
• Testing whether jumps have finite or infinite activity
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• The EM Algorithm and Extensions, 2E
• The Variance Gamma Process and Option Pricing
• The pricing of options and corporate liabilities
• The structure of dynamic correlations in multivariate stochastic volatility models
• Volatility jumps

Cited in

(8)

• A nested factor model for non-linear dependencies in stock returns
• Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
• Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
• A long-run pure variance common features model for the common volatilities of the Dow Jones
• Common-factor stochastic volatility modelling with observable proxy
• Dynamic currency hedging with non-Gaussianity and ambiguity
• Riding with the four horsemen and the multivariate normal tempered stable model
• Econometric analysis of financial derivatives: an overview

Describes a project that uses

Uses Software

• QRM

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