Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models

By V. Todorov, George Tauchen. 2006

81 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/aa75781d894b121bbef0abcce02f3863f24b8c55

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

In Statistics and Probability

Citations in the corpus

Activity Signature Functions for High-Frequency Data Analysis (2010, unknown): “5 See Todorov and Tauchen (2006) and references therein for details on discontinuous processes with drift in continuous time.”
Econometric analysis of jump-driven stochastic volatility models (2011, unknown): “…= b0+ρ1 ρ1−ρ2 eρ1a−1 ρ1 eρ1(t−s) + b0+ρ2ρ2−ρ1 eρ2a−1 ρ2 eρ2(t−s) if s t b0+ρ1 ρ1−ρ2 eρ1(t−s+a)−1 ρ1 + b0+ρ2ρ2−ρ1 eρ2(t−s+a)−1 ρ2 if t ≤ s t + a. (15) The necessary and sufficient condition for the CARMA(2,1) kernel to be nonnegative is b0 ≥ −max{ρ1, ρ2} > 0 (see Todorov and Tauchen (2006)).”
Recent results in the theory and applications of CARMA processes (2014, methodology): “Simulation of Lévy-driven CARMA stochastic volatility models was considered by Todorov and Tauchen (2006).”
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2009, methodology): “This model was analyzed in Brockwell (2001a) and Todorov and Tauchen (2006) among others.”
A multivariate Ornstein-Uhlenbeck type stochastic volatility model (2009, methodology): “To obtain such a flexible behavior in the univariate case extensions such as the class of CARMA models, proposed by Brockwell (2001) with appropriate positivity restrictions can be applied, see e.g. Todorov and Tauchen (2006).”
Estimation for Non-Negative Lévy-Driven CARMA Processes (2011, methodology): “Todorov and Tauchen (2006) showed how to simulate CARMA(2,1) stochastic volatility processes using a particular family of driving Lévy processes and Todorov (2009) used a CARMA(2,1) process driven by a CGMY Lévy process to derive moments of the return process and hence to estimate model parameters.”