Doubly stochastic models with GARCH innovations
نویسندگان
چکیده
منابع مشابه
Doubly Stochastic Models with Threshold Garch Innovations
Recently, there has been a growing interest in the methods addressing volatility in computational finance and econometrics. Peiris et al. [8] have introduced doubly stochastic volatility models with GARCH innovations. Random coefficient autoregressive sequences are special case of doubly stochastic time series. In this paper, we consider some doubly stochastic stationary time series with GARCH ...
متن کاملRCA models with GARCH innovations
Rapid developments of time series models and methods addressing volatility in computational finance and econometrics have been recently reported in the financial literature. The non-linear volatility theory either extends and complements existing time series methodology by introducing more general structures or provides an alternative framework (see Abraham and Thavaneswaran [B. Abraham, A. Tha...
متن کاملOption Pricing for GARCH-type Models with Generalized Hyperbolic Innovations∗
In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic innovations and the pricing kernel is an exponential affine function of the state variables, we show that the...
متن کاملThree-factor profile analysis with GARCH innovations
Abstract The technique of ANOVA has been widely used in Economics and Finance where the observations are usually time-dependent but the model itself is treated as independent in time. In this paper, we extend an ANOVA model by releasing the assumption of independence in time. We further release the assumption of homoskedasticity in the traditional profile analysis by introducing GARCH innovatio...
متن کاملBL-GARCH model with elliptical distributed innovations
We are interested in the parametric class of Bilinear GARCH (BL-GARCH) models which are capable of simultaneously capturing the well known properties of financial retrun series, volatility clustering and leverage effects. Specifically, as it is often observed that the distribution of many financial time series data has heavy tails, heavier than the Normal distribution, we examine, in this paper...
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: Applied Mathematics Letters
سال: 2011
ISSN: 0893-9659
DOI: 10.1016/j.aml.2011.04.020