Double Gamma Stochastic Volatility Model in Discrete Time

SSRN Electronic Journal ◽

10.2139/ssrn.2955794 ◽

2010 ◽

Author(s):

Ali Hirsa

Keyword(s):

Stochastic Volatility ◽

Discrete Time ◽

Stochastic Volatility Model ◽

Volatility Model

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A new class of discrete-time stochastic volatility model with correlated errors

Applied Economics ◽

10.1080/00036846.2018.1494804 ◽

2018 ◽

Vol 51 (3) ◽

pp. 259-277 ◽

Cited By ~ 2

Author(s):

Sujay Mukhoti ◽

Pritam Ranjan

Keyword(s):

Stochastic Volatility ◽

Discrete Time ◽

Stochastic Volatility Model ◽

Correlated Errors ◽

New Class ◽

Volatility Model

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Adaptive estimation of the dynamics of a discrete time stochastic volatility model

Journal of Econometrics ◽

10.1016/j.jeconom.2009.07.001 ◽

2010 ◽

Vol 154 (1) ◽

pp. 59-73 ◽

Cited By ~ 6

Author(s):

F. Comte ◽

C. Lacour ◽

Y. Rozenholc

Keyword(s):

Stochastic Volatility ◽

Discrete Time ◽

Adaptive Estimation ◽

Stochastic Volatility Model ◽

Volatility Model

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A New Class of Discrete-Time Stochastic Volatility Model with Correlated Errors

SSRN Electronic Journal ◽

10.2139/ssrn.2948321 ◽

2017 ◽

Author(s):

Sujay Mukhoti ◽

Pritam Ranjan

Keyword(s):

Stochastic Volatility ◽

Discrete Time ◽

Stochastic Volatility Model ◽

Correlated Errors ◽

New Class ◽

Volatility Model

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FUZZY UNCERTAINTY IN THE HESTON STOCHASTIC VOLATILITY MODEL

FUZZY ECONOMIC REVIEW ◽

10.25102/fer.2011.02.01 ◽

2011 ◽

Vol 16 (02) ◽

Cited By ~ 1

Author(s):

G. Figà-Talamanca ◽

M. L. Guerra ◽

L. Stefanini

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Fuzzy Uncertainty ◽

Volatility Model

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Introducing two mixing fractions to a lognormal local-stochastic volatility model

The Journal of Computational Finance ◽

10.21314/jcf.2020.389 ◽

2020 ◽

Author(s):

Bowie Owens ◽

Zili Zhu ◽

Geoffrey Lee

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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A non-Gaussian stochastic volatility model

The Journal of Computational Finance ◽

10.21314/jcf.1998.023 ◽

1998 ◽

Vol 2 (2) ◽

pp. 33-47 ◽

Cited By ~ 11

Author(s):

Yuichi Nagahara ◽

Genshiro Kitagawa

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model ◽

Non Gaussian

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Simple and efficient simulation of the Heston stochastic volatility model

The Journal of Computational Finance ◽

10.21314/jcf.2008.189 ◽

2008 ◽

Vol 11 (3) ◽

pp. 1-42 ◽

Cited By ~ 167

Author(s):

Leif Andersen

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Efficient Simulation ◽

Volatility Model

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Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1360241 ◽

2009 ◽

Cited By ~ 7

Author(s):

Hwagyun Kim ◽

Hyoung Il Lee ◽

Joon Y. Park ◽

Hyosung Yeo

Keyword(s):

Stochastic Volatility ◽

Asset Prices ◽

Stochastic Volatility Model ◽

Macroeconomic Uncertainty ◽

Volatility Model

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Forecasting Future Volatility from Option Prices under the Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1416638 ◽

2009 ◽

Author(s):

Suk-Joon Byun ◽

Sol Kim ◽

Dongwoo Rhee

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Option Prices ◽

Volatility Model

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Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

SSRN Electronic Journal ◽

10.2139/ssrn.275500 ◽

2001 ◽

Cited By ~ 4

Author(s):

Eric Jacquier ◽

Nick Polson ◽

Peter E. Rossi

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Leverage Effect ◽

Fat Tails ◽

Volatility Model

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