A Harris process to model stochastic volatility
نویسندگان
چکیده
منابع مشابه
A Neural Stochastic Volatility Model
In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time series analysis and prediction in finance. The model comprises a pair of complementary stochastic recurrent neural networks: the generative network models the j...
متن کاملA Multivariate Stochastic Volatility Model
Anastasios Plataniotis and Petros Dellaportas [email protected] [email protected] Department of Statistics, Athens University of Economics and Business, Greece Summary: We introduce a broad class of multivariate stochastic volatility models where transformed eigenvalues and Givens rotation angles are assumed to be AR(1) processes. This decomposition retains the required positive definite structure of...
متن کاملGaussian Process Volatility Model
The prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the evolution of the variance. Moreover, functional parameters are usually learned by maximum likelihood, which can lead to overfitting. To address these problems we introduce GP-Vol, a novel non-paramet...
متن کاملA Threshold Stochastic Volatility Model with Realized Volatility
Rapid development in the computer technology has made the financial transaction data visible at an ultimate limit level. The realized volatility, as a proxy for the ”true” volatility, can be constructed using the high frequency data. This paper extends a threshold stochastic volatility specification proposed in So, Li and Lam (2002) by incorporating the high frequency volatility measures. Due t...
متن کاملStochastic Calculus of Heston’s Stochastic-Volatility Model
The Heston stochastic-volatility model is a square-root diffusion model for the stochasticvariance. It gives rise to a singular diffusion for the distribution as noted by Feller (1951). Hence, there is an order constraint on the relationship between the limit that the variance goes to zero and the limit that time-step goes to zero, so that any non-trivial transformation of the Heston model lead...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometrics and Statistics
سال: 2019
ISSN: 2452-3062
DOI: 10.1016/j.ecosta.2017.11.001