搜索结果: 1-15 共查到“管理学 volatility”相关记录31条 . 查询时间(0.272 秒)
Recent research has documented a rise in the volatility of individual labor earnings in the United States since 1970. Existing measures of this trend abstract from within-group latent heterogeneity, e...
On Implied Volatility for Options – Some Reasons to Smile and More to Correct
Bias correction Implied volatility,Kernel estimator Pricing errors
2016/1/25
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/25
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
On Implied Volatility for Options – Some Reasons to Smile and More to Correct
Bias correction Implied volatility Kernel estimator Pricing errors
2016/1/20
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/20
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
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...
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
It^o Process Realized Volatility Integrated Volatility Time Endogeneity Market Microstructure Noise
2013/5/2
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, an...
Quarticity and other functionals of volatility: efficient estimation
semimartingale high frequency data volatility estimation central limit theo-rem efficient estimation
2012/9/19
We consider a multidimensional It坥 semimartingale regularly sampled on [0,t] at high frequency 1/∆n, with ∆n going to zero. The goal of this paper is to provide an estimator for the integr...
Parametric inference and forecasting in continuously invertible volatility models
Invertibility volatility models parametric estimation
2011/7/6
We introduce the notion of continuously invertible volatility models that relies on some Lyapunov condition and some regularity condition.
Asymptotic equivalence for inference on the volatility from noisy observations
High-frequency data diffusions with measurement error mi-crostructure noise integrated volatility spot volatility estimation Le Cam deficiency equivalence of experiments Gaussian shift
2011/6/17
We consider discrete-time observations of a continuous martin-
gale under measurement error. This serves as a fundamental model
for high-frequency data in finance, where an efficient price process
...
Estimates of Year-to-Year Volatility in Earnings and in Household Incomes from Administrative, Survey, and Matched Data
Year-to-Year Volatility Earnings Household Incomes Administrative Survey Matched Data
2016/3/9
We document trends in the volatility in earnings and household incomes between 1985 and 2005 in three different data sources: administrative earnings records, the Survey of Income and Program Particip...
DCC and Analysis of the Exchange Rate and the Stock Market Returns’ Volatility: An Evidence Study of Thailand Country
Four Quadrant (4Q) Converter Interlacing Traction Systems Power Quality Analysis
2013/2/23
This paper studies the relatedness and the model construction of exchange rate volatility and the Thailand’s stock market returns. Empirical results show that we can construct a bivariate IGARCH (1, 1...
Vast volatility matrix estimation for high-frequency financial data
Convergence rate diffusion integrated volatility matrix norm micro-structure noise realized volatility
2010/3/10
High-frequency data observed on the prices of financial assets
are commonly modeled by diffusion processes with micro-structure
noise, and realized volatility-based methods are often used to estimat...
Lower bounds for volatility estimation in microstructure noise models
Brownian motion Variance estimation Kullback-Leibler divergence Minimaxrate Microstructure noise
2010/3/10
In this paper we derive lower bounds in minimax sense for estimation of the instantaneous
volatility if the diffusion type part cannot be observed directly but under
some additional Gaussian noise. ...
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...