منابع مشابه
Autoregressive Stochastic Volatility Models with Heavy-tailed Distributions: A Comparison with Multifactor Volatility Models
This paper examines two asymmetric stochastic volatility models used to describe the heavy tails and volatility dependencies found in most financial returns. The first is the autoregressive stochastic volatility model with Student’s t-distribution (ARSV-t), and the second is the multifactor stochastic volatility (MFSV) model. In order to estimate these models, the analysis employs the Monte Car...
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The multifactor version of copula models has the ability to generate complex correlation structure among defaults that is useful in fitting the base correlation skew. However, multifactor models have often been dismissed for their intractability. Even the semianalytical approach using Laplace transforms is computationally challenging, because although the model is tractable upon conditioning on...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2019
ISSN: 1945-497X
DOI: 10.1137/18m1170236