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Citations for "Modeling Stochastic Volatility: A Review And Comparative Study"

by Stephen J. Taylor

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  1. Rui Vilela Mendes & M. J. Oliveira, 2006. "A data-reconstructed fractional volatility model," Papers math/0602013,, revised Jun 2007.
  2. Eugenie Hol & Siem Jan Koopman, 2000. "Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility," Tinbergen Institute Discussion Papers 00-104/4, Tinbergen Institute.
  3. Fabio Fornari & Antonio Mele, 1997. "Weak convergence and distributional assumptions for a general class of nonliner arch models," Econometric Reviews, Taylor & Francis Journals, vol. 16(2), pages 205-227.
  4. María García Centeno & Román Mínguez Salido, 2009. "Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns," International Advances in Economic Research, International Atlantic Economic Society, vol. 15(1), pages 71-87, February.
  5. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-52, July.
  6. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
  7. Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee.
  8. Xiuping Mao & Esther Ruiz & Helena Veiga, 2013. "One for all : nesting asymmetric stochastic volatility models," Statistics and Econometrics Working Papers ws131110, Universidad Carlos III, Departamento de Estadística y Econometría.
  9. Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," Tübinger Diskussionsbeiträge 136, University of Tübingen, School of Business and Economics.
  10. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
  11. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," LSE Research Online Documents on Economics 6813, London School of Economics and Political Science, LSE Library.
  12. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  13. Delis , Manthos D. & Hasan, Iftekhar & Tsionas, Efthymios G., 2014. "The risk of financial intermediaries," Research Discussion Papers 18/2014, Bank of Finland.
  14. Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers 08/08, Department of Economics, City University London.
  15. Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 1999. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Research Papers EI 9936/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  16. Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689.
  17. Shawn Ni & Antonello Loddo & Dongchu Sun, 2009. "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Working Papers 0911, Department of Economics, University of Missouri.
  18. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  19. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
  20. Jin-Yu Zhang & Yong Li & Zhu-Ming Chen, 2013. "Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis," Computational Economics, Society for Computational Economics, vol. 41(1), pages 89-100, January.
  21. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  22. Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
  23. Ronald Mahieu & Rob Bauer, 1998. "A Bayesian analysis of stock return volatility and trading volume," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 671-687.
  24. R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012. "The fractional volatility model: No-arbitrage, leverage and completeness," Papers 1205.2866,
  25. Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, vol. 148(2), pages 71-97.
  26. Trojan, Sebastian, 2014. "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science.
  27. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.
  28. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, School of Economics and Management, University of Aarhus.
  29. António Alberto Santos, 2015. "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers 2015-10, GEMF - Faculdade de Economia, Universidade de Coimbra.
  30. Nelson, Daniel B., 1996. "Asymptotic filtering theory for multivariate ARCH models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 1-47.
  31. Roman Liesenfeld & Robert C. Jung, 2000. "Stochastic volatility models: conditional normality versus heavy-tailed distributions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 137-160.
  32. Bandi, Chaithanya & Bertsimas, Dimitris, 2014. "Robust option pricing," European Journal of Operational Research, Elsevier, vol. 239(3), pages 842-853.
  33. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  34. De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 87-103, August.
  35. Yipeng Yang & Allanus Tsoi, 2013. "Prospect Agents and the Feedback Effect on Price Fluctuations," Papers 1308.6759,, revised Jan 2014.
  36. Claessen, Holger & Mittnik, Stefan, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," CFS Working Paper Series 2002/04, Center for Financial Studies (CFS).
  37. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 1-28, March.
  38. Giot, Pierre & Laurent, Sebastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 379-398, June.
  39. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
  40. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
  41. Ronald Mahieu & Peter Schotman, 1994. "Stochastic volatility and the distribution of exchange rate news," Discussion Paper / Institute for Empirical Macroeconomics 96, Federal Reserve Bank of Minneapolis.
  42. So, Mike K.P. & Kwok, Susanna W.Y., 2006. "A multivariate long memory stochastic volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 450-464.
  43. K. Ronnie Sircar & George Papanicolaou, 1999. "Stochastic volatility, smile & asymptotics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(2), pages 107-145.
  44. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
  45. Emenike, Kalu O., 2010. "Modelling Stock Returns Volatility In Nigeria Using GARCH Models," MPRA Paper 22723, University Library of Munich, Germany.
  46. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series 497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  47. Berument, M. Hakan & Yalcin, Yeliz & Yildirim, Julide, 2012. "Inflation and inflation uncertainty: A dynamic framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4816-4826.
  48. Joshua C.C. Chan & Angelia L. Grant, 2015. "Modeling energy price dynamics: GARCH versus stochastic volatility," CAMA Working Papers 2015-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  49. Ai[diaeresis]t-Sahalia, Yacine & Kimmel, Robert, 2007. "Maximum likelihood estimation of stochastic volatility models," Journal of Financial Economics, Elsevier, vol. 83(2), pages 413-452, February.
  50. P. Girardello & Orietta Nicolis & Giovanni Tondini, 2002. "Comparing conditional variance models: Theory and empirical evidence," Departmental Working Papers 2002-08, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  51. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  52. Lahaye, Jerome & Shaw, Philip, 2014. "Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV," Economics Letters, Elsevier, vol. 125(1), pages 43-46.
  53. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
  54. Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December.
  55. Ozturk, Serda Selin & Richard, Jean-Francois, 2015. "Stochastic volatility and leverage: Application to a panel of S&P500 stocks," Finance Research Letters, Elsevier, vol. 12(C), pages 67-76.
  56. Zhao, Zhibiao, 2011. "Nonparametric model validations for hidden Markov models with applications in financial econometrics," Journal of Econometrics, Elsevier, vol. 162(2), pages 225-239, June.
  57. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
  58. repec:cep:stiecm:/2000/392 is not listed on IDEAS
  59. Valeria V. Lakshina, 2014. "The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?," HSE Working papers WP BRP 37/FE/2014, National Research University Higher School of Economics.
  60. David Neto & Sylvain Sardy, 2012. "Moments structure of ℓ 1 -stochastic volatility models," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(6), pages 1947-1952, October.
  61. Ramdan Dridi & Eric Renault, 2000. "Semi-Parametric Indirect Inference," STICERD - Econometrics Paper Series 392, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  62. Aliou Diop & Dominique Guegan, 2005. "tail behavior of a threshold autoregressive stochastic volatility model," Post-Print halshs-00188530, HAL.
  63. repec:cep:stiecm:/2000/396 is not listed on IDEAS
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