scholarly journals Modeling Energy Price Dynamics: GARCH Versus Stochastic Volatility

2015 ◽  
Author(s):  
Joshua C. C. Chan ◽  
Angelia Grant
Keyword(s):  
Stochastic Volatility ◽  
Energy Price ◽  
Price Dynamics

scholarly journals Modeling energy price dynamics: GARCH versus stochastic volatility

2016 ◽  
Vol 54 ◽  
pp. 182-189 ◽  
Author(s):  
Joshua C.C. Chan ◽  
Angelia L. Grant
Keyword(s):  
Stochastic Volatility ◽  
Energy Price ◽  
Price Dynamics

scholarly journals SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL

2009 ◽  
Vol 12 (03) ◽  
pp. 283-295 ◽  
Author(s):  
REIICHIRO KAWAI
Keyword(s):  
Stochastic Volatility ◽  
Heavy Tails ◽  
Stochastic Volatility Model ◽  
Price Dynamics ◽  
Marginal Density ◽  
The Past ◽  
Sensitivity Indices ◽  
Volatility Model ◽  
Backward Equation ◽  
Volatility Function

Monte Carlo estimators of sensitivity indices and the marginal density of the price dynamics are derived for the Hobson-Rogers stochastic volatility model. Our approach is based mainly upon the Kolmogorov backward equation by making full use of the Markovian property of the dynamics given the past information. Some numerical examples are presented with a GARCH-like volatility function and its extension to illustrate the effectiveness of our formulae together with a clear exhibition of the skewness and the heavy tails of the price dynamics.

House price dynamics of the top 13 cities in China

2017 ◽  
Author(s):  
Piyush Tiwari ◽  
Alla Koblyakova ◽  
John Croucher ◽  
Justine Wang
Keyword(s):  
House Price ◽  
Price Dynamics ◽  
House Price Dynamics

The Economic Effects of Energy Price Shocks

CFA Digest ◽  
2009 ◽  
Vol 39 (3) ◽  
pp. 37-39
Author(s):  
M.E. Ellis
Keyword(s):  
Economic Effects ◽  
Energy Price ◽  
Price Shocks
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