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検索結果 12 件

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

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
デジタル文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
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  • 件名...ishart Process Leverage Effects Feedback Effects Multifactor ...

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
紙文書・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
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Dynamic Equicorrelation Stochastic Volatility

Dynamic Equicorrelation Stochastic Volatility
紙文書・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
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Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
デジタル文書・図像類
McAleer, Michael, Asai, Manabu, Caporin, MassimilianoInstitute of Economic Research, Kyoto University2012-04KIER Discussion Paper812
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  • 件名...dimensionality leverage effects multi-factors heavy-tailed di...

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
紙文書・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
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Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
紙文書・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
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Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
紙文書・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
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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
紙文書・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
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Nonparametric Stochastic Volatility

Nonparametric Stochastic Volatility
デジタル文書・図像類
Bandi, Federico M., Ren?, RobertoInstitute of Economic Research, Hitotsubashi University2009-03
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  • 要約等...ons, nonlinear leverage effects, jumps in returns and volatil...
  • 件名... 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
紙文書・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
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Leverage, heavy-tails and correlated jumps in stochastic volatility models

Leverage, heavy-tails and correlated jumps in stochastic volatility models
紙文書・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
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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
紙文書・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
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  • 件名... Kalman filter Leverage　effects Markov chain Monte Carlo Metr...

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