𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Moment explosions in stochastic volatility models

✍ Scribed by Leif B. G. Andersen; Vladimir V. Piterbarg


Publisher
Springer-Verlag
Year
2006
Tongue
English
Weight
255 KB
Volume
11
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Gamma stochastic volatility models
✍ Bovas Abraham; N. Balakrishna; Ranjini Sivakumar πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 256 KB

## Abstract This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the e

Estimation of integrated volatility in s
✍ Jeannette H. C. Woerner πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 182 KB πŸ‘ 1 views

Institut f . u ur Mathematische Stochastik, Universit . a at G . o ottingen, Maschm . u uhlenweg 8-10, D-37073 G . o ottingen, Germany

Testing for jumps in the stochastic vola
✍ Masahito Kobayashi πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 255 KB

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the innovation term follows the normal and Student t-distributions. The tested null hypothesis is that the jump density has zero variance, which is expressed