A stochastic volatility model with flexible extremal dependence structure

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Stochastic volatility models with possible extremal clustering

In this paper we consider a heavy-tailed stochastic volatility model, Xt = σtZt , t ∈ Z, where the volatility sequence (σt ) and the i.i.d. noise sequence (Zt ) are assumed independent, (σt ) is regularly varying with index α > 0, and the Zt ’s have moments of order larger than α. In the literature (see Ann. Appl. Probab. 8 (1998) 664–675, J. Appl. Probab. 38A (2001) 93–104, In Handbook of Fina...

متن کامل

Stochastic Volatility Models: Extremal Behavior

Stochastic volatility determines, as a rule, the extreme risk in price fluctuations. We review some of the most important stochastic volatility models concerning their extreme behaviour. This includes the tail behaviour as well as the cluster possibilities of such models. The following pattern is common for discretetime and continuous-time models. In linear models the volatility inherits the ta...

متن کامل

Empirical Implementation of a Term Structure Model with Stochastic Volatility

We provide the empirical implementation of the term-structure model developed in Fornari and Mele (1998). This model is based on a continuous time economy exhibiting equilibrium dynamics to which most asymmetric ARCH models converge in distribution as the sample frequency gets in nite. We obtain estimates of the model’s parameters that are based on an indirect inference scheme in which such con...

متن کامل

www.econstor.eu Extremal behavior of stochastic volatility models

Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has sometimes quite substantial upwards jumps and clusters on high levels. We investigate classical and nonclassical stochastic volatility models with respect to their extreme behavior. We show that classical stochastic volatility models driven by Brownian motion can model heav...

متن کامل

Extremal behavior of stochastic volatility models

Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has sometimes quite substantial upwards jumps and clusters on high levels. We investigate classical and nonclassical stochastic volatility models with respect to their extreme behavior. We show that classical stochastic volatility models driven by Brownian motion can model heav...

متن کامل

ذخیره 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: Bernoulli

سال: 2016

ISSN: 1350-7265

DOI: 10.3150/15-bej699