Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model

DOI10.1016/J.CSDA.2008.08.024MaRDI QIDQ961412zbMATH OpenOpenAlexFDO

Authors Gianna Figà-Talamanca

Publication date 30 March 2010

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

Full work available at URL https://doi.org/10.1016/j.csda.2008.08.024

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Testing for the Box-Cox parameter for an integrated process
• Estimation and asymptotic covariance matrix for stochastic volatility models
• A stochastic variance model for absolute returns
• scientific article; zbMATH DE number 2065158
• Further results on pseudo-maximum likelihood estimation and testing in the constant elasticity of variance continuous time model

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An option pricing formula for the GARCH diffusion model
• ARCH models as diffusion approximations
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Empirical properties of asset returns: stylized facts and statistical issues
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1639858 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On the applicability of stochastic volatility models
• Sequential calibration of options
• Stochastic volatility models as hidden Markov models and statistical applications
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities

Cited in

(6)

• Testing for the Box-Cox parameter for an integrated process
• CEV model equipped with the long-memory
• On the estimation of non linear functions in stochastic volatility models
• Bayesian analysis of constant elasticity of variance models
• Testing for EGARCH Against Stochastic Volatility Models
• A stochastic variance model for absolute returns

This page was built for publication: Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q961412)