搜索结果: 16-30 共查到“管理学 volatility”相关记录31条 . 查询时间(0.078 秒)
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatilityestimation Le Cam deficiency equivalence of experiments
2010/3/9
The basic model for high-frequency data in finance is considered,
where an efficient price process is observed under microstructure noise.
It is shown that this nonparametric model is in Le Cam’s se...
STOCHASTIC VOLATILITY:APPROXIMATION AND GOODNESS-OF-FIT TEST
Non-parametric estimation goodness-of-fit test stochastic volatility discrete time observation
2009/9/18
Let X be the unique solution started from x0 of the stochastic
differential equation dXt = µ(t;Xt)dBt +b(t;Xt)dt with B a standard
Brownian motion. We consider an approximation of the volatili...
The Extended Generalized Inverse Gaussian Distribution for Log-Linear and Stochastic Volatility Models
Inverse Gaussian Distribution Log-Linear Stochastic Volatility Models
2009/9/17
The Extended Generalized Inverse Gaussian Distribution for Log-Linear and Stochastic Volatility Models。
Non-Parametric Volatility Estimation in Continuous Time
Non-Parametric Volatility Estimation Continuous Time
2009/9/17
Non-Parametric Volatility Estimation in Continuous Time。
Portfolio Optimization with Non-Constant Volatility and Partial Information
Portfolio Optimization Non-Constant Volatility Partial Information
2009/9/17
Portfolio Optimization with Non-Constant Volatility and Partial Information。
Continuous-time trading and the emergence of volatility
Continuous-time trading emergence of volatility
2009/3/20
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that...
ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES：THE SIMULTANEOUS SWITCHING ARIMA APPROACH
Asymmetrical Volatility Stock Prices Simultaneous Switching AR Model Conditional Heteroskedasticity Daily Effect
2009/3/11
Asymmetrical movements between the downward and upward phases of sample paths of many financial time series have been noted by economists. By incorporating the conditional heteroskedasticity aspect in...
On Asymmetry，Holiday and Day-of-the-week Effects in Volatility of Daily Stock Returns：The Case of Japan
Asymmetry effect daily stock returns day-of-the-week effect holiday effect Nikkei 225 stock average stochastic variance model U.S. stock price change effect volatility volatility transmission
2009/3/10
In this paper, we investigate volatility in Japanese stock returns, using the state-space model. The daily data of Nikkei 225 stock average from January 4, 1985 to June 10, 2004 are utilized and the s...
Bayesian Analysis of a Markov Switching Stochastic Volatility Model
marginal likelihood Markov-chain Monte Carlo Markov switching particle filter stochastic volatility TOPIX
2009/3/9
This article analyzes a Markov switching stochastic volatility (MSSV) model to accommodate the shift in the mean of log-volatility. Since it is difficult to estimate the parameters in this model based...
Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
Bayesian model selection B-splines fat tail leverage effect Markov chain Monte Carlo
2009/3/6
Stochastic volatility (SV) models provide useful tools to describe the evolution of asset returns, which exhibit time-varying volatility. This paper extends a basic SV model to capture a leverage effe...
DEPOSIT INSURANCE PRICING：THE HIDDEN BURDEN OF PREMIUM RATE VOLATILITY
DEPOSIT INSURANCE PRICING PREMIUM RATE VOLATILITY
2008/11/18
The virtual elimination of the federal deposit insurance premium
for the majority of banks in 1995 and 1996 has been widely heralded
as a boon for bankers. Certainly it represents welcome relief fro...
Filtering and estimation in stochastic volatility models with rationally distributed disturbances
stochastic volatility filtering rational probability density function state space realization
2010/4/29
This paper deals with the filtering problem for a class of discrete
time stochastic volatility models in which the disturbances have rational
probability density functions. This includes the Cauchy ...
Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity Levy jumps
co-jumps diffusion correlation coefficient stable Levy jumps threshold estimator
2010/4/29
In this paper we consider two processes driven by diffusions and jumps. The jump components
are L´evy processes and they can both have finite activity and infinite activity. Given discrete obse...
Estimation errors of the Sharpe ratio for long-memory stochastic volatility models
long memory stochastic volatility Sharpe ratio
2010/4/27
The Sharpe ratio, which is defined as the ratio of the excess expected
return of an investment to its standard deviation, has been widely cited
in the financial literature by researchers and practit...
Multivariate volatility models
multivariate GARCH model BEKK model positive definite matrix volatility series
2010/4/27
Correlations between asset returns are important in many financial
applications. In recent years, multivariate volatility models have been used to
describe the time-varying feature of the correlatio...