Stochastic Volatility Estimation Using Markov Chain Simulation

DOI10.1007/978-3-540-69179-2_12MaRDI QIDQ3542261zbMATH OpenOpenAlexFDO

Authors Nikolaus Hautsch, Yanguoyi Ou

Publication date 1 December 2008

Published in Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-69179-2_12

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Statistical methods; risk measures (91G70)

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Cited in

(10)

• Simulation-based sequential analysis of Markov switching stochastic volatility models
• Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models
• Simulation-based estimation methods for financial time series models
• Simulated Moments Estimation of Markov Models of Asset Prices
• Moment–Based Estimation of Stochastic Volatility Models
• Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
• Study on the sequence volatility of financial assets based on Markov chain Monte Carlo simulation
• Parameter estimation in stochastic volatility models
• Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation
• Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods

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