Simulation and Parameter Estimation of Stochastic Volatility Models

Simulation and Parameter Estimation of Stochastic Volatility Models
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Total Pages: 33
Release: 2006
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ISBN:


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Simulation and Parameter Estimation of Stochastic Volatility Models
Language: en
Pages: 33
Authors:
Categories:
Type: BOOK - Published: 2006 - Publisher:

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Parameter Estimation in Stochastic Volatility Models
Language: en
Pages: 634
Authors: Jaya P. N. Bishwal
Categories: Mathematics
Type: BOOK - Published: 2022-08-06 - Publisher: Springer Nature

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This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While
Stochastic Volatility and Realized Stochastic Volatility Models
Language: en
Pages: 120
Authors: Makoto Takahashi
Categories: Business & Economics
Type: BOOK - Published: 2023-04-18 - Publisher: Springer Nature

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This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for esti
Handbook of Modeling High-Frequency Data in Finance
Language: en
Pages: 468
Authors: Frederi G. Viens
Categories: Business & Economics
Type: BOOK - Published: 2011-12-20 - Publisher: John Wiley & Sons

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CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allow
Parameter Estimation in Stochastic Volatility Models Via Approximate Bayesian Computing
Language: en
Pages: 150
Authors: Achal Awasthi
Categories: Bayesian statistical decision theory
Type: BOOK - Published: 2018 - Publisher:

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In this thesis, we propose a generalized Heston model as a tool to estimate volatility. We have used Approximate Bayesian Computing to estimate the parameters o