Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study

SSRN Electronic Journal ◽

10.2139/ssrn.2097717 ◽

2012 ◽

Author(s):

M. Hakan Eratalay

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Monte Carlo Study ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study

International Econometric Review ◽

10.33818/ier.278044 ◽

2016 ◽

Vol 8 (2) ◽

pp. 19-52 ◽

Cited By ~ 1

Author(s):

M. Hakan Eratalay

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Monte Carlo Study ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

Econometric Reviews ◽

10.1080/07474930600712848 ◽

2006 ◽

Vol 25 (2-3) ◽

pp. 385-408 ◽

Cited By ~ 14

Author(s):

Borus Jungbacker ◽

Siem Jan Koopman

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models

Journal of Mathematical Finance ◽

10.4236/jmf.2012.21010 ◽

2012 ◽

Vol 02 (01) ◽

pp. 83-89 ◽

Cited By ~ 1

Author(s):

Yong Li ◽

Fang-Ping Peng ◽

Hao-Feng Xu

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Persistence ◽

Bayesian Testing ◽

Volatility Models ◽

Asset Volatility ◽

Multivariate Stochastic Volatility

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Monte Carlo Methods for Stochastic Volatility Models

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.009 ◽

1997 ◽

pp. 146-164 ◽

Cited By ~ 6

Author(s):

E. Fournié ◽

J. M. Lasry ◽

N. Touzi

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Monte Carlo Methods ◽

Stochastic Volatility Models ◽

Volatility Models

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Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo

Scandinavian Journal of Statistics ◽

10.1111/j.1467-9469.2010.00723.x ◽

2010 ◽

Vol 38 (1) ◽

pp. 1-22 ◽

Cited By ~ 51

Author(s):

AJAY JASRA ◽

DAVID A. STEPHENS ◽

ARNAUD DOUCET ◽

THEODOROS TSAGARIS

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Sequential Monte Carlo ◽

Stochastic Volatility Models ◽

Volatility Models

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A mixed PDE/Monte-Carlo method for stochastic volatility models

Comptes Rendus Mathematique ◽

10.1016/j.crma.2009.02.021 ◽

2009 ◽

Vol 347 (9-10) ◽

pp. 559-563 ◽

Cited By ~ 13

Author(s):

Grégoire Loeper ◽

Olivier Pironneau

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance

WSC'99. 1999 Winter Simulation Conference Proceedings. 'Simulation - A Bridge to the Future' (Cat. No.99CH37038) ◽

10.1145/324138.324237 ◽

1999 ◽

Cited By ~ 5

Author(s):

Hatem Ben Ameur ◽

Pierre L'Ecuyer ◽

Christiane Lemieux

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Variance Reduction ◽

Stochastic Volatility Models ◽

Quasi Monte Carlo ◽

Volatility Models

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Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

Econometric Reviews ◽

10.1080/07474930600713424 ◽

2006 ◽

Vol 25 (2-3) ◽

pp. 335-360 ◽

Cited By ~ 50

Author(s):

Roman Liesenfeld ◽

Jean-François Richard

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Option Pricing in Multivariate Stochastic Volatility Models of OU Type

SIAM Journal on Financial Mathematics ◽

10.1137/100803687 ◽

2012 ◽

Vol 3 (1) ◽

pp. 66-94 ◽

Cited By ~ 38

Author(s):

Johannes Muhle-Karbe ◽

Oliver Pfaffel ◽

Robert Stelzer

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion

International Journal of Computer Mathematics ◽

10.1080/00207160.2013.866654 ◽

2014 ◽

Vol 91 (9) ◽

pp. 2039-2059 ◽

Cited By ~ 1

Author(s):

Junmei Ma ◽

Chenglong Xu

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Jump Diffusion ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Acceleration Method

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