Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
From MaRDI portal
Publication:274920
DOI10.1016/j.jeconom.2005.03.016zbMath1344.91016OpenAlexW2040115600MaRDI QIDQ274920
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
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
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
Cites Work
- Testing normality: a GMM approach
- Econometric specification of stochastic discount factor models
- Analysis of time series subject to changes in regime
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Estimation of stochastic volatility models with diagnostics
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Alternative models for stock price dynamics.
- Markov chain Monte Carlo methods for stochastic volatility models.
- Modeling and pricing long memory in stock market volatility
- Simulated Moments Estimation of Markov Models of Asset Prices
- Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Likelihood analysis of non-Gaussian measurement time series
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- Filtering via Simulation: Auxiliary Particle Filters
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- 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
