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Moment based estimation of supOU processes and a related stochastic volatility model
generalized method of moments Ornstein-Uhlenbeck type process L
2013/6/14
After a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU SV model we estimate these processes by using the generalized method of moments. We show that t...
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Stochastic volatility Heston model fast mean-reversion
2010/10/21
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model
2010/10/18
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model Markov Chain Monte Carlo Bayesian Inference Financial Data Analysis
2010/4/27
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
Bayesian Analysis of a Markov Switching Stochastic Volatility Model
marginal likelihood Markov-chain Monte Carlo Markov switching particle filter stochastic volatility TOPIX
2009/3/9
This article analyzes a Markov switching stochastic volatility (MSSV) model to accommodate the shift in the mean of log-volatility. Since it is difficult to estimate the parameters in this model based...
Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
Bayesian model selection B-splines fat tail leverage effect Markov chain Monte Carlo
2009/3/6
Stochastic volatility (SV) models provide useful tools to describe the evolution of asset returns, which exhibit time-varying volatility. This paper extends a basic SV model to capture a leverage effe...