Fourier inference for stochastic volatility models with heavy-tailed innovations

Statistical Papers ◽

10.1007/s00362-016-0803-6 ◽

2016 ◽

Vol 59 (3) ◽

pp. 1043-1060

Author(s):

Bruno Ebner ◽

Bernhard Klar ◽

Simos G. Meintanis

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

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Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models

Journal of Empirical Finance ◽

10.1016/j.jempfin.2006.06.006 ◽

2008 ◽

Vol 15 (2) ◽

pp. 332-341 ◽

Author(s):

Manabu Asai

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Heavy Tailed Distributions ◽

Volatility Models ◽

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Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.07.008 ◽

2011 ◽

Vol 55 (1) ◽

pp. 852-862 ◽

Author(s):

Joanna J.J. Wang ◽

Jennifer S.K. Chan ◽

S.T. Boris Choy

Keyword(s):

Stochastic Volatility ◽

Bayesian Approach ◽

Stochastic Volatility Models ◽

Scale Mixtures ◽

Heavy Tailed Distributions ◽

Volatility Models ◽

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HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

Australian & New Zealand Journal of Statistics ◽

10.1111/j.1467-842x.2007.00498.x ◽

2008 ◽

Vol 50 (1) ◽

pp. 29-51 ◽

Author(s):

Cathy W. S. Chen ◽

F. C. Liu ◽

Mike K. P. So

Keyword(s):

Time Series ◽

Stochastic Volatility ◽

Financial Time Series ◽

Stochastic Volatility Models ◽

Financial Time ◽

Volatility Models ◽

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Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions

SSRN Electronic Journal ◽

10.2139/ssrn.41549 ◽

1997 ◽

Author(s):

Roman Liesenfeld ◽

Robert C. Jung

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Heavy Tailed Distributions ◽

Volatility Models ◽

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Stochastic volatility models: conditional normality versus heavy-tailed distributions

Journal of Applied Econometrics ◽

10.1002/(sici)1099-1255(200003/04)15:2<137::aid-jae546>3.0.co;2-m ◽

2000 ◽

Vol 15 (2) ◽

pp. 137-160 ◽

Author(s):

Roman Liesenfeld ◽

Robert C. Jung

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Heavy Tailed Distributions ◽

Volatility Models ◽

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Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2009.06.011 ◽

2010 ◽

Vol 54 (12) ◽

pp. 2883-2898 ◽

Author(s):

C.A. Abanto-Valle ◽

D. Bandyopadhyay ◽

V.H. Lachos ◽

I. Enriquez

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Normal Distributions ◽

Scale Mixtures ◽

Robust Bayesian Analysis ◽

Volatility Models ◽

Heavy Tailed ◽

Mixtures Of Normal Distributions

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An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

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