𝔖 Bobbio Scriptorium
✦   LIBER   ✦

An empirical comparison of continuous-time models of implied volatility indices

✍ Scribed by George Dotsis; Dimitris Psychoyios; George Skiadopoulos

Book ID
116614949
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
244 KB
Volume
31
Category
Article
ISSN
0378-4266

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

An empirical comparison of continuous ti
An empirical comparison of continuous time models of the short term interest rate
✍ Bali, Turan G. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 225 KB πŸ‘ 2 views

This article tests the performance of a wide variety of well-known continuous time models-with particular emphasis on the Black, Derman, and Toy (1990; henceforth BDT) term structure model-in capturing the stochastic behavior of the short term interest rate volatility. Many popular interest rate mod

An empirical application of stochastic v
An empirical application of stochastic volatility models
✍ Ronald J. Mahieu; Peter C. Schotman πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 335 KB πŸ‘ 2 views

This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the eects of the distribution of the exchange rate innovations for both parameter estimates and for estimates of the latent volatili