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Author : Jian Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Essays on Stochastic Volatility Models with Jump Clustering written by Jian Chen and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ke Chen (Economist)
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (835 download)
Download or read book Essays on Stochastic Volatility and Jumps written by Ke Chen (Economist) and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies a few different finance topics on the application and modelling of jump and stochastic volatility process. First, the thesis proposed a non-parametric method to estimate the impact of jump dependence, which is important for portfolio selection problem. Comparing with existing literature, the new approach requires much less restricted assumption on the jump process, and estimation results suggest that the economical significance of jumps is largely mis-estimated in portfolio optimization problem. Second, this thesis investigates the time varying variance risk premium, in a framework of stochastic volatility with stochastic jump intensity. The proposed model considers jump intensity as an extra factor which is driven by realized jumps, in addition to a stochastic volatility model. The results provide strong evidence of multiple factors in the market and show how they drive the variance risk premium. Thirdly, the thesis uses the proposed models to price options on equity and VIX consistently. Based on calibrated model parameters, the thesis shows how to calculate the unconditional correlation of VIX future between different maturities.
Author : Diep Ngoc Duong
Publisher :
ISBN 13 :
Total Pages : 184 pages
Book Rating : 4.:/5 (856 download)
Download or read book Essays on Stochastic Volatility and Jumps written by Diep Ngoc Duong and published by . This book was released on 2013 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises three essays on financial economics and econometrics. The first essay outlines and expands upon further testing results from Bhardwaj, Corradi and Swanson (BCS: 2008) and Corradi and Swanson (2011). In particular, specification tests in the spirit of the conditional Kolmogorov test of Andrews (1997) that rely on block bootstrap resampling methods are first discussed. We then broaden our discussion from single process specification testing to multiple process model selection by discussing how to construct predictive densities and how to compare the accuracy of predictive densities derived from alternative (possibly misspecified) diffusion models. In particular, we generalize simulation steps outlined in Cai and Swanson (2011) to multifactor models where the number of latent variables is larger than three. In the second essay, we begin by discussing important developments in volatility modeling, with a focus on time varying and stochastic volatility as well as the "model free" estimation of volatility via the use of so-called realized volatility, and variants thereof called realized measures. In an empirical investigation, we use realized measures to investigate the role of "small" and large" jumps in the realized variation of stock price returns and show that jumps do matter in the relative contribution to the total variation of the process, when examining individual stock returns, as well as market indices. The third essay examines the predictive content of a variety of realized measures of jump power variations, all formed on the basis of power transformations of instantaneous returns. Our prediction involves estimating members of the linear and nonlinear extended Heterogeneous Autoregressive of the Realized Volatility (HAR-RV) class of models, using S & P 500 futures data as well as stocks in the Dow 30, for the period 1993-2009. Our findings suggest that past "large" jump power variations help less in the prediction of future realized volatility, than past "small" jump power variations. Our empirical findings also suggest that past realized signed jump power variations, which have not previously been examined in this literature, are strongly correlated with future volatility.
Author : Sebastian Trojan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (93 download)
Download or read book Essays on Multivariate Stochastic Volatility Models written by Sebastian Trojan and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay describes a very general stochastic volatility (SV) model specification with leverage, heavy tails, skew and switching regimes, using realized volatility (RV) as an auxiliary time series to improve inference on latent volatility. The information content of the range and of implied volatility using the VIX index is also analyzed. Database is the S & P 500 index. Asymmetry in the observation error is modeled by the generalized hyperbolic skew Student-t distribution, whose heavy and light tail enable substantial skewness. Resulting number of regimes and dynamics differ dependent on the auxiliary volatility proxy and are investigated in-sample for the financial crash period 2008/09 in more detail. An out-of-sample study comparing predictive ability of various model variants for a calm and a volatile period yields insights about the gains on forecasting performance from different volatility proxies. Results indicate that including RV or the VIX pays off mostly in more volatile market conditions, whereas in calmer environments SV specifications using no auxiliary series outperform. The range as volatility proxy provides a superior in-sample fit, but its predictive performance is found to be weak. The second essay presents a high frequency stochastic volatility model. Price duration and associated absolute price change in event time are modeled contemporaneously to fully capture volatility on the tick level, combining the SV and stochastic conditional duration (SCD) model. Estimation is with IBM stock intraday data 2001/10 (decimalization completed), taking a minimum midprice threshold of a half tick. Persistent information flow is extracted, featuring a positively correlated innovation term and negative cross effects in the AR(1) persistence matrix. Additionally, regime switching in both duration and absolute price change is introduced to increase nonlinear capabilities of the model. Thereby, a separate price jump.
Author : Lu Feng
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.:/5 (363 download)
Download or read book Three Essays on Continuous-time Stochastic Volatility Models written by Lu Feng and published by . This book was released on 1996 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Stochastic Volatility and Random-field Models in Finance written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Helen Tsoulouvi
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (143 download)
Download or read book Essays on stochastic volatility and random-fiels models in finance written by Helen Tsoulouvi and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yu-Cheng Ku
Publisher :
ISBN 13 :
Total Pages : 87 pages
Book Rating : 4.:/5 (69 download)
Download or read book Essays on Multivariate Stochastic Volatility Models Using Wishart Processes written by Yu-Cheng Ku and published by . This book was released on 2010 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hyung-Jin Chung
Publisher :
ISBN 13 :
Total Pages : 212 pages
Book Rating : 4.:/5 (414 download)
Download or read book Essays on Stochastic Volatility written by Hyung-Jin Chung and published by . This book was released on 1997 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Noureddine Krichene
Publisher : International Monetary Fund
ISBN 13 : 1451854846
Total Pages : 30 pages
Book Rating : 4.4/5 (518 download)
Download or read book Modeling Stochastic Volatility with Application to Stock Returns written by Mr.Noureddine Krichene and published by International Monetary Fund. This book was released on 2003-06-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion. Filtering showed highly volatile markets, reflecting frequent pertinent news. Diagnostics showed no model failure, although specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential value for market participants in asset pricing and risk management, as well as for policymakers in the design of macroeconomic policies conducive to less volatile financial markets.
Author : Guanliang Hu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Essays on Stochastic Volatility and Aggregate Fluctuations written by Guanliang Hu and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent papers have pointed to the role of fluctuation in the second-moment of firm productivity (or demand) in generating aggregate fluctuations. However, the commonly used model which assumes an AR(1) process of productivity has two implications that are inconsistent with data: (i) the economy recovers from a downturn induced by an increase in the second-moment much faster in the model than in SVAR; and (ii) in the model, a large increase in the second-moment leads to an increase in investment rate dispersion, which is not observed in the data. To address these inconsistencies, I propose a general information structure which allows for a rich specification of second-moment shocks and find one of them that can resolve these inconsistencies. In chapter 1, using data on US publicly traded firms, I document the stylized facts that firms experience larger changes in productivity will have larger uncertainty in future and that this association decreases over time. Motivated by these facts, I propose a general information structure, which incorporates a learning process, and embed it into a heterogeneous-firm RBC model. I then consider an economy without aggregate shocks and show that this information structure can explain well these facts both qualitatively and quantitatively. In chapter 2, based on the model framework developed in chapter 1, I study four types of second-moment shocks: shocks to the second-moment of persistent productivity (i.e., the standard formation in the literature), shocks to frequency of persistent productivity change, shocks to the second-moment of transitory productivity, and shocks to the second-moment of signal noises. Specifically, I estimate four models, each of which has one type of second-moment shocks. I find that the model that best fits data on firm-level and aggregate uncertainty is the one that has shocks to the second-moment of transitory productivity. In chapter 3, I explore the quantitative implications of each model estimated in chapter 2. I find the model with the best fit solves the aforementioned inconsistencies with the data. This result suggests a new reasonable way to model fluctuation in uncertainty.
Author : Marcus Nossman
Publisher :
ISBN 13 :
Total Pages : 150 pages
Book Rating : 4.:/5 (351 download)
Download or read book Essays on Stochastic Volatility written by Marcus Nossman and published by . This book was released on 2009 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yu-Yao Wu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (15 download)
Download or read book A Study of Stochastic Volatility Models with Jump Risk and Option Valuation written by Yu-Yao Wu and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katja Ignatieva
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)
Download or read book Stochastic Volatility and Jumps written by Katja Ignatieva and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes exponentially affine and non-affine stochastic volatility models with jumps in returns and volatility. Markov Chain Monte Carlo (MCMC) technique is applied within a Bayesian inference to estimate model parameters and latent variables using daily returns from the Samp;P 500 stock index. There are two approaches to overcome the problem of misspecification of the square root stochastic volatility model. The first approach proposed by Christo ersen, Jacobs and Mimouni (2008) suggests to investigate some non-affine alternatives of the volatility process. The second approach consists in examining more heavily parametrized models by adding jumps to the return and possibly to the volatility process. The aim of this paper is to combine both model frameworks and to test whether the class of affine models is outperformed by the class of non-affine models if we include jumps into the stochastic processes. We conclude that the non-affine model structure have promising statistical properties and are worth further investigations. Further, we find affine models with jump components that perform similar to the non affine models without jump components. Since non affine models yield economically unrealistic parameter estimates, and research is rather developed for the affine model structures we have a tendency to prefer the affine jump diffusion models.
Author : Wei Wei
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book A Jump-diffusion Model with Stochastic Volatility and Durations written by Wei Wei and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yang Zu
Publisher :
ISBN 13 : 9789036102728
Total Pages : 130 pages
Book Rating : 4.1/5 (27 download)
Download or read book Essays on Nonparametric Econometrics of Stochastic Volatility written by Yang Zu and published by . This book was released on 2012 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sigurd Emil Rømer
Publisher :
ISBN 13 : 9788771250541
Total Pages : 0 pages
Book Rating : 4.2/5 (55 download)
Download or read book Essays on rough and classical stochastic volatility written by Sigurd Emil Rømer and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
