scholarly journals Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists

2019 ◽  
Author(s):  
Jozef Barunik ◽  
Cathy Yi‐Hsuan Chen ◽  
Jan Vecer
Keyword(s):  
Stochastic Volatility ◽  
High Frequency ◽  
Stochastic Volatility Model ◽  
Volatility Model

scholarly journals Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data

2016 ◽  
Vol 20 (1) ◽  
Author(s):  
Kyungsub Lee
Keyword(s):  
Stochastic Volatility ◽  
High Frequency ◽  
Generalized Method Of Moments ◽  
Estimation Method ◽  
Stochastic Volatility Model ◽  
Variation Method ◽  
Moment Conditions ◽  
Volatility Model ◽  
Return Distributions ◽  
The Moment

AbstractWe discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions with quadratic variation method but for the computational tractability, we use a square root stochastic volatility model for the derivations of moment conditions for estimations. Using the S&P 500 index high frequency data, the realized versions of the moment variations is used for the estimation of a stochastic volatility model. We propose a simple estimation method of a stochastic volatility model using the sample averages of the variations and ARMA estimation. In addition, we compare the results with a generalized method of moments estimation based on the successive relation between realized moments and their lagged values.

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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