Comparing stochastic volatility models through Monte Carlo simulations
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Cited by:
- de Pinho, Frank M. & Franco, Glaura C. & Silva, Ralph S., 2016. "Modeling volatility using state space models with heavy tailed distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 119(C), pages 108-127.
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"Leverage, heavy-tails and correlated jumps in stochastic volatility models,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2335-2353, April.
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"Bayesian estimation of the Gaussian mixture GARCH model,"
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- Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models," CIRJE F-Series CIRJE-F-738, CIRJE, Faculty of Economics, University of Tokyo.
- Jeonggyu Huh, 2018. "Measuring Systematic Risk with Neural Network Factor Model," Papers 1809.04925, arXiv.org.
- Borovkova, Svetlana & Permana, Ferry J., 2009. "Implied volatility in oil markets," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2022-2039, April.
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"Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3690-3704.
- Jouchi Nakajima & Yasuhiro Omori, 2009. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution," CIRJE F-Series CIRJE-F-701, CIRJE, Faculty of Economics, University of Tokyo.
- Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution," Global COE Hi-Stat Discussion Paper Series gd09-124, Institute of Economic Research, Hitotsubashi University.
- Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution," CARF F-Series CARF-F-215, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Jouchi Nakajima & Yasuhiro Omori, 2009. "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution," CARF F-Series CARF-F-199, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Karamé, Frédéric, 2018.
"A new particle filtering approach to estimate stochastic volatility models with Markov-switching,"
Econometrics and Statistics, Elsevier, vol. 8(C), pages 204-230.
- Frédéric Karamé, 2018. "A new particle filtering approach to estimate stochastic volatility models with Markov-switching," Post-Print hal-02296093, HAL.
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- Yedidya Rabinovitz, 2017. "A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-22, June.
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- Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
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