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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
Available onlineOther Libraries in Japan
  • Subject Heading...ishart Process Leverage Effects Feedback Effects Multifactor ...

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2013-09Discussion paper series. CIRJE-FCIRJE-F-904
Other Libraries in Japan

Dynamic Equicorrelation Stochastic Volatility

Dynamic Equicorrelation Stochastic Volatility
Paper文書・図像類
Kurose, Yuta, Omori, Yasuhiro日本経済国際共同センター2013-11Discussion paper series. CIRJE-FCIRJE-F-907
Other Libraries in Japan

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
Digital文書・図像類
McAleer, Michael, Asai, Manabu, Caporin, MassimilianoInstitute of Economic Research, Kyoto University2012-04KIER Discussion Paper812
Available onlineOther Libraries in Japan
  • Subject Heading...dimensionality leverage effects multi-factors heavy-tailed di...

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

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

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2011-08Discussion paper series. CIRJE-FCIRJE-F-812
Other Libraries in Japan

Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-746
Other Libraries in Japan

Nonparametric Stochastic Volatility

Nonparametric Stochastic Volatility
Digital文書・図像類
Bandi, Federico M., Ren?, RobertoInstitute of Economic Research, Hitotsubashi University2009-03
Available onlineOther Libraries in Japan
  • Summary, etc....ons, nonlinear leverage effects, jumps in returns and volatil...
  • Subject Heading... in volatility leverage effects risk-return trade-offs kernel...

Stochastic volatility with leverage : fast and efficient likelihood inference

Stochastic volatility with leverage : fast and efficient likelihood inference
Paper文書・図像類
Omori, Yasuhiro, Siddhartha, Chib, Neil, Shephard, Nakajima, Jouchi日本経済国際共同センター2004-08Discussion paper series. CIRJE-F2004-CF-297
Other Libraries in Japan

Leverage, heavy-tails and correlated jumps in stochastic volatility models

Leverage, heavy-tails and correlated jumps in stochastic volatility models
Paper文書・図像類
Nakajima, Jouchi, Omori, Yasuhiro日本経済国際共同センター2007-09Discussion paper series. CIRJE-FCIRJE-F-514
Other Libraries in Japan

Block sampler and posterior mode estimation for a nonlinear and non-Gaussian state-space model with correlated errors

Block sampler and posterior mode estimation for a nonlinear and non-Gaussian state-space model with correlated errors
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-508
Other Libraries in Japan
  • Subject Heading... Kalman filter Leverage　effects Markov chain Monte Carlo Metr...

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