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High-frequency realized stochastic volatility model

High-frequency realized stochastic volatility model
Digital文書・図像類
Watanabe, Toshiaki, Nakajima, JouchiHitotsubashi Institute for Advanced Study, Hitotsubashi University2023-01
Available onlineOther Libraries in Japan
  • Summary, etc.A new high-frequency realized stochastic volatility model is proposed. A......aily-frequency stochastic volatility model, the high-frequency stochastic volatility model is fit to intr......high-frequency stochastic volatility model by considering......uency realized stochastic volatility model improves in-sample model fit ...
  • Subject Heading...zed volatility Stochastic volatility model Volatility forecasting

On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model

On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-07Discussion paper series. CIRJE-FCIRJE-F-897
Other Libraries in Japan
  • Subject Heading...oock functions Stochastic volatility model Option price Greeks

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
Paper文書・図像類
Kato, Takashi, Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-01Discussion paper series. CIRJE-FCIRJE-F-873
Other Libraries in Japan
  • Subject HeadingBarrier Option Up-and-Out Call Option Asymptotic Expansion Stochastic Volatility Model

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
Paper文書・図像類
Shirota, Shinichiro, Hizu, Takayuki, Omori, Yasuhiro日本経済国際共同センター2013-03Discussion paper series. CIRJE-FCIRJE-F-880
Other Libraries in Japan
  • Subject Heading...ility Realized stochastic volatility model State space model

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
Paper文書・図像類
Shirota, Shinichiro, Hizu, Takayuki, Omori, Yasuhiro日本経済国際共同センター2012-11Discussion paper series. CIRJE-FCIRJE-F-869
Other Libraries in Japan
  • Subject Heading...ility Realized stochastic volatility model State space model

Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models

Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models
Paper文書・図像類
Omori, Yasuhiro, Watanabe, Toshiaki日本経済国際共同センター2007-08Discussion paper series. CIRJE-FCIRJE-F-507
Other Libraries in Japan
  • Subject HeadingAsymmetric stochastic volatility model Bayesian analysis Disturbance...

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