Some recent developments in stochastic volatility modelling
By Ole E. Barndorff-Nielsen, Elisa Nicolato, N. Shephard. 2002
135 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/d9fc9c13fcdfa773c3413ae471e0a557ce4fd321
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In Economics and Econometrics
- Himadri Ghosh
- Prajneshu
- Bishal Gurung
- Christian Pigorsch
- Esther Ruiz
- Carmen Broto
- Wim Schoutens
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In Finance
- Christian Pigorsch
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- Bishal Gurung
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Citations in the corpus
- ARMA representation of integrated and realized variances (2003, background): “7After the first version of this paper, Barndorff-Nielsen et al. (2002b) also considered the positiveness of estimates of integrated variance.”
- Estimation methods for stochastic volatility models: a survey (2004, methodology): “Berg et al. (2004) propose to compare models via the information criteria. Summarizing, the main attraction of MCMC procedures is that they permit to obtain simultaneously sample inference about the parameters, smooth estimates of the unobserved variances and predictive distributions of multistep fo”
- A multivariate Ornstein-Uhlenbeck type stochastic volatility model (2009, methodology): “This general model has been stated in several papers (e.g. Barndorff-Nielsen and Shephard, 2001, 2009, Barndorff-Nielsen, Nicolato, and Shephard, 2002 and Lindberg, 2005), but a detailed analysis of it has not been undertaken yet.”
- A perfect calibration! now what? (2004, background): “In this case, one can write the characteristic function [3] of the log price in the form:”
- Kalman filter-based modelling and forecasting of stochastic volatility with threshold (2015, methodology): “A good description of SV models is given in [2,6].”
- Power Variation and Time Change (2006, unknown): “The latter requirement is met in particular by the superpositions of OU processes used as models for H in Barndor-Nielsen and Shephard (2001b), Barndor-Nielsen and Shephard (2001a), cf. also Barndor-Nielsen (2001) and Barndor-Nielsen, Nicolato, and Shephard (2002) .”