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https://www.deutsche-digitale-bibliothek.de/item/LZ472GM2IF7V7NWDIJYV26CF7MSJG6NG Estimating a semiparametric asymmetric stochastic volatility model with a dirichlet process mixture... stochastic volatility dirichlet process estimating semiparametric asymmetric https://ideas.repec.org/a/eee/econom/v176y2013i2p162-172.html Moving average stochastic volatility models with application to inflation forecast Downloadable (with restrictions)! We introduce a new class of models that has both stochastic volatility and moving average errors, where the conditional mean... moving average stochastic volatility models application inflation https://www.hu-berlin.de/forschung-lehre/forschungsinformationssystem/projekt-details/case-stipendium-sal-oppenheim-calibration-of-jump-diffusion-stochastic-volatility-option-pricing-models CASE: Stipendium Sal. Oppenheim - Calibration of jump-diffusion stochastic volatility option... sal oppenheim jump diffusion stochastic volatility case stipendium https://www.econstor.eu/handle/10419/149480 EconStor: Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and... EconStor is a publication server for scholarly economic literature, provided as a non-commercial public service by the ZBW. matrix exponential stochastic volatility long memory econstor realized https://www.mathworks.com/help/finance/bates.html bates - Bates stochastic volatility model - MATLAB The bates function creates a bates object, which represents a Bates model. stochastic volatility bates model matlab https://www.scirp.org/journal/PaperInformation?PaperID=35892 Recursive Estimation for Continuous Time Stochastic Volatility Models Using the Milstein... Optimal as well as recursive parameter estimation for semimartingales had been studied in [1,2]. Recently, there has been a growing interest in modelling... continuous time stochastic volatility recursive estimation https://www.bankofengland.co.uk/working-paper/2020/identification-of-structural-vector-autoregressions-by-stochastic-volatility Identification of structural vector autoregressions by stochastic volatility | Bank of England We propose to exploit stochastic volatility for statistical identification of structural vector autoregressive models (SV-SVAR). We discuss full and partial... stochastic volatility identification structural vector bank https://www.wolfram.com/books/profile.cgi?id=3512 Option Valuation under Stochastic Volatility with Mathematica Code option valuation stochastic volatility mathematica code https://ideas.repec.org/p/nuf/econwp/9626.html Stochastic volatility: likelihood inference and comparison with ARCH models Downloadable! In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihood-based framework for the... stochastic volatility likelihood inference comparison arch https://www.econstor.eu/handle/10419/62928 EconStor: Pricing American options under stochastic volatility: A new method using Chebyshev... EconStor is a publication server for scholarly economic literature, provided as a non-commercial public service by the ZBW. american options stochastic volatility https://www.scirp.org/journal/paperinformation?paperid=63563 Multivariate Stochastic Volatility Estimation with Sparse Grid Integration Discover the power of sparse grid integration in estimating multivariate stochastic volatility models. Compare its effectiveness to MCMC methods in handling... stochastic volatility sparse grid multivariate estimation integration https://ideas.repec.org/p/cir/cirwor/99s-48.html A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation Downloadable! The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps.... a new class of stochastic volatility https://www.wolfram.com/books/profile.cgi?id=9465 Option Valuation under Stochastic Volatility II: With Mathematica Code option valuation stochastic volatility ii mathematica code https://www.bankofcanada.ca/2026/03/staff-working-paper-2026-8/?theme_mode=light Estimation and Inference for Stochastic Volatility Models with Heavy-Tailed Distributions - Bank of... Statistical inference--both estimation and testing--for stochastic volatility (SV) models is known to be challenging and computationally demanding. We propose... https://www.rba.gov.au/publications/rdp/2013/2013-10/equations/eq-33-rdp2013-10.html Equation (33) | RDP 2013-10: Stochastic Terms of Trade Volatility in Small Open Economies | RBA https://ideas.repec.org/a/eee/csdana/v51y2006i4p2218-2231.html A class of nonlinear stochastic volatility models and its implications for pricing currency options Downloadable (with restrictions)! This paper proposes a class of stochastic volatility (SV) models which offers an alternative to the one introduced in... https://ideas.repec.org/p/hst/ghsdps/gd08-035.html Nonparametric Stochastic Volatility Downloadable! Using recent advances in the nonparametric estimation of continuous-time processes under mild statistical assumptions as well as recent... nonparametric stochastic volatility https://www.econstor.eu/handle/10419/70551 EconStor: Stochastic volatility EconStor is a publication server for scholarly economic literature, provided as a non-commercial public service by the ZBW. econstor stochastic volatility https://deepai.org/publication/a-novel-maneuvering-target-tracking-approach-by-stochastic-volatility-garch-model A Novel Maneuvering Target Tracking Approach by Stochastic Volatility GARCH Model | DeepAI Feb 12, 2019 - 02/12/19 - In this paper, we introduce a new single model maneuvering target tracking approach using stochastic differential equation (SDE) b... a novel target tracking https://www.econstor.eu/handle/10419/100900 EconStor: Pricing and hedging index options under stochastic volatility: an empirical examination EconStor is a publication server for scholarly economic literature, provided as a non-commercial public service by the ZBW. index options https://ideas.repec.org/p/fip/fedcwq/89757.html Addressing COVID-19 Outliers in BVARs with Stochastic Volatility Downloadable! The COVID-19 pandemic has led to enormous movements in economic data that strongly affect parameters and forecasts obtained from standard VARs.... covid 19 addressing outliers stochastic volatility https://www.unsw.edu.au/science/our-schools/maths/engage-with-us/seminars/2015/distribution-forecasting-nonlinear-models-stochastic-volatility Distribution Forecasting in Nonlinear Models with Stochastic Volatility | School of Mathematics and... school of mathematics https://ideas.repec.org/a/oup/jfinec/v1y2003i3p445-470.html The Local Whittle Estimator of Long-Memory Stochastic Volatility We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses... the local long memory whittle estimator stochastic https://www.rba.gov.au/publications/rdp/2013/2013-10/index.html RDP 2013-10: Stochastic Terms of Trade Volatility in Small Open Economies | RBA Research Discussion Papers contain the results of economic research within the Reserve Bank terms of trade https://www.econstor.eu/handle/10419/61435 EconStor: Structural Change and Spurious Persistence in Stochastic Volatility EconStor is a publication server for scholarly economic literature, provided as a non-commercial public service by the ZBW. structural change econstor spurious persistence stochastic https://www.rba.gov.au/publications/rdp/2013/2013-10/references.html References | RDP 2013-10: Stochastic Terms of Trade Volatility in Small Open Economies | RBA https://arxiv.org/abs/1903.00937 [1903.00937] Pricing foreign exchange options under stochastic volatility and interest rates using... Abstract page for arXiv paper 1903.00937: Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method foreign exchange options https://ideas.repec.org/p/tiu/tiucen/4fd55395-6830-46a2-9d18-efb61c0ed3f3.html Bayesian Vector Autoregressions with Stochastic Volatility Downloadable! This paper proposes a Bayesian approach to a vector autoregression with stochastic volatility, where the multiplicative evolution of the... bayesian vector stochastic volatility