This article uses a Bayesian unit-root test in stochastic volatility models. The time series of interest is the volatility that is unobservable. The unit-root testing is based on the posterior odds ...
The Journal of Business & Economic Statistics (JBES) has been published quarterly since 1983 by the American Statistical Association. It serves as a unique meeting place for applied economists, ...
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating ...
Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
In this paper, we consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options. The method builds on ...
Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
Dominique Bang, head of interest rate vanilla analytics at Bank of America Merrill Lynch in London, joined us in our studio to talk about his work on a local stochastic volatility model. While the ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback