搜索结果: 1-7 共查到“理论统计学 Stochastic Volatility”相关记录7条 . 查询时间(0.086 秒)
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...
Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models
Approximate EM Adaptive sampling Delayed rejection Gaussian copula marginallikelihood Markov chain Monte Carlo
2010/3/10
An Markov chain Monte Carlo simulation method based on a two stage delayed
rejection Metropolis-Hastings algorithm is proposed to estimate a factor
multivariate stochastic volatility model. The firs...
STOCHASTIC VOLATILITY:APPROXIMATION AND GOODNESS-OF-FIT TEST
Non-parametric estimation goodness-of-fit test stochastic volatility discrete time observation
2009/9/18
Let X be the unique solution started from x0 of the stochastic
differential equation dXt = µ(t;Xt)dBt +b(t;Xt)dt with B a standard
Brownian motion. We consider an approximation of the volatili...
The Extended Generalized Inverse Gaussian Distribution for Log-Linear and Stochastic Volatility Models
Inverse Gaussian Distribution Log-Linear Stochastic Volatility Models
2009/9/17
The Extended Generalized Inverse Gaussian Distribution for Log-Linear and Stochastic Volatility Models。
Filtering and estimation in stochastic volatility models with rationally distributed disturbances
stochastic volatility filtering rational probability density function state space realization
2010/4/29
This paper deals with the filtering problem for a class of discrete
time stochastic volatility models in which the disturbances have rational
probability density functions. This includes the Cauchy ...
Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity Levy jumps
co-jumps diffusion correlation coefficient stable Levy jumps threshold estimator
2010/4/29
In this paper we consider two processes driven by diffusions and jumps. The jump components
are L´evy processes and they can both have finite activity and infinite activity. Given discrete obse...
Estimation errors of the Sharpe ratio for long-memory stochastic volatility models
long memory stochastic volatility Sharpe ratio
2010/4/27
The Sharpe ratio, which is defined as the ratio of the excess expected
return of an investment to its standard deviation, has been widely cited
in the financial literature by researchers and practit...