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Stochastic Equity Volatility Related To The Leverage Effect Ii
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Book Synopsis Stochastic Equity Volatility Related to the Leverage Effect by : Alain Bensoussan
Download or read book Stochastic Equity Volatility Related to the Leverage Effect written by Alain Bensoussan and published by . This book was released on 1994 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Résumé en anglais
Book Synopsis Stochastic Equity Volatility Related to the Leverage Effect II by : Alain Bensoussan
Download or read book Stochastic Equity Volatility Related to the Leverage Effect II written by Alain Bensoussan and published by . This book was released on 1995 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Leverage Effect in Stochastic Volatility by : Amaan Mehrabian
Download or read book The Leverage Effect in Stochastic Volatility written by Amaan Mehrabian and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A striking empirical feature of many financial time series is that when the price drops, the future volatility increases. This negative correlation between the financial return and future volatility processes was initially addressed in Black 76 and explained based on financial leverage, or a firm's debt-to-equity ratio: when the price drops, financial leverage increases, the firm becomes riskier, and hence, the future expected volatility increases. The phenomenon is, therefore, traditionally been named the leverage effect. In a discrete time Stochastic Volatility (SV) model framework, the leverage effect is often modelled by a negative correlation between the innovation processes of return and volatility equations. These models can be represented as state space models in which the returns and the volatilities are considered as the observed and the latent state variables respectively. Including the leverage effect in the SV model not only results in a better fit ...
Download or read book Research Report written by and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Risk-return Tradeoff and Leverage Effect in a Stochastic Volatility-in-mean Model by : Bent Jesper Christensen
Download or read book The Risk-return Tradeoff and Leverage Effect in a Stochastic Volatility-in-mean Model written by Bent Jesper Christensen and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model by : Dinghai Xu
Download or read book Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model written by Dinghai Xu and published by . This book was released on 2010 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Stochastic Volatility Model with Leverage Effect and Regime Switching by : Hong Jiang
Download or read book A Stochastic Volatility Model with Leverage Effect and Regime Switching written by Hong Jiang and published by . This book was released on 2014 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Study About the Existence of the Leverage Effect in Stochastic Volatility Models by : Ionut Florescu
Download or read book A Study About the Existence of the Leverage Effect in Stochastic Volatility Models written by Ionut Florescu and published by . This book was released on 2018 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The empirical relationship between the return of an asset and the volatility of the asset has been well documented in the financial literature. Named the leverage e ffect or sometimes risk-premium effect, it is observed in real data that, when the return of the asset decreases, the volatility increases and vice-versa.Consequently, it is important to demonstrate that any formulated model for the asset price is capable to generate this eff ect observed in practice. Furthermore, we need to understand the conditions on the parameters present in the model that guarantee the apparition of the leverage effect. In this paper we analyze two general speci cations of stochastic volatility models and their capability of generating the perceived leverage effect. We derive conditions for the apparition of leverage e ffect in both of these stochastic volatility models. We exemplify using stochastic volatility models used in practice and we explicitly state the conditions for the existence of the leverage effect in these examples.
Book Synopsis Incorporation of a Leverage Effect in a Stochastic Volatility Model by : Ole Eiler Barndorff-Nielsen
Download or read book Incorporation of a Leverage Effect in a Stochastic Volatility Model written by Ole Eiler Barndorff-Nielsen and published by . This book was released on 1998 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Antoine Petrus Cornelius van der Ploeg Publisher :Rozenberg Publishers ISBN 13 :9051705778 Total Pages :358 pages Book Rating :4.0/5 (517 download)
Book Synopsis Stochastic volatility and the pricing of financial derivatives by : Antoine Petrus Cornelius van der Ploeg
Download or read book Stochastic volatility and the pricing of financial derivatives written by Antoine Petrus Cornelius van der Ploeg and published by Rozenberg Publishers. This book was released on 2006 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails by : Eric Jacquier
Download or read book Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails written by Eric Jacquier and published by . This book was released on 2001 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic univariate stochastic volatility model specifies that conditional volatility follows a log-normal auto-regressive model with innovations assumed to be independent of the innovations in the conditional mean equation. Since the introduction of practical methods for inference in the basic volatility model (JPR-(1994)), it has been observed that the basic model is too restrictive for many financial series. We extend the basic SVOL to allow for a so-called quot;Leverage effectquot; via correlation between the volatility and mean innovations, and for fat-tails in the mean equation innovation. A Bayesian Markov Chain Monte Carlo algorithm is developed for the extended volatility model. Thus far, likelihood-based inference for the correlated SVOL model has not appeared in the literature. We develop Bayes Factors to assess the importance of the leverage and fat-tail extensions. Sampling experiments reveal little loss in precision from adding the model extensions but a large loss from using the basic model in the presence of mis-specification. For both equity and exchange rate data, there is overwhelming evidence in favor of models with fat-tailed volatility innovations, and for a leverage effect in the case of equity indices. We also find that volatility estimates from the extended model are markedly different from those produced by the basic SVOL.
Book Synopsis On Leverage in a Stochastic Volatility Model by : Jun Yu
Download or read book On Leverage in a Stochastic Volatility Model written by Jun Yu and published by . This book was released on 2004 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is concerned with specification for modelling finanical leverage effect in the context of stochastic volatility models.
Book Synopsis The Estimation of Leverage Effect with High Frequency Data by : Christina Dan Wang
Download or read book The Estimation of Leverage Effect with High Frequency Data written by Christina Dan Wang and published by . This book was released on 2014 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage effect has become an extensively studied phenomenon which describes the negative relation between the stock return and its volatility. Although this characteristic of stock returns is well acknowledged, most studies about it are based on cross-sectional calibration with parametric models. Other than that, most previous work are over daily or longer return horizons and usually do not specify the quantitative measure of it. This paper provides nonparametric estimation of a class of stochastic measures of leverage effect for both cases with and without microstructure noise, and studies the statistical properties of the estimators when the log price process is a quite general continuous semimartingale, in the stochastic volatility context and for high frequency data. The consistency and limit distribution of the estimators are derived, and simulation results present the properties accordingly. This estimator also provides the opportunity to study the empirical relation between skewness and leverage effect, which further leads to the prediction of skewness. Furthermore, adopting similar ideas to these in this paper, it is easy to extend the study to other important aspects of the stock returns, e.g. volatility of volatility.
Book Synopsis Modelling Financial Time Series by : Stephen J. Taylor
Download or read book Modelling Financial Time Series written by Stephen J. Taylor and published by World Scientific. This book was released on 2008 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
Book Synopsis Stochastic Volatility and Time Deformation by : Joann Jasiak
Download or read book Stochastic Volatility and Time Deformation written by Joann Jasiak and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we study stochastic volatility models with time deformation. Such processes relate to the early work by Mandelbrot and Taylor (1967), Clark (1973), Tauchen and Pitts (1983), among others. In our setup, the latent process of stochastic volatility evolves in an operational time which differs from calendar time. The time deformation can be determined by past volume of trade, past returns, possibly with an asymmetric leverage effect, and other variables setting the pace of information arrival. The econometric specification exploits the state-space approach for stochastic volatility models proposed by Harvey, Ruiz and Shephard (1994) as well as the matching moment estimation procedure using SNP densities of stock returns and trading volume estimated by Gallant, Rossi and Tauchen (1992). Daily data on returns and trading volume of the NYSE are used in the empirical application. Supporting evidence for a time deformation representation is found and its impact on the behavior of returns and volume is analyzed. We find that increases in volume accelerate operational time, resulting in volatility being less persistent and subject to shocks with a higher innovation variance. Downward price movements have similar effects while upward price movements increase the persistence in volatility and decrease the dispersion of shocks by slowing down market time. We present the basic model as well as several extensions; in particular, we formulate and estimate a bivariate return-volume stochastic volatility model with time deformation. The latter is examined through bivariate impulse response profiles following the example of Gallant, Rossi and Tauchen (1993).
Book Synopsis Methods of Mathematical Finance by : Ioannis Karatzas
Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer. This book was released on 2017-01-10 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.