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Simulation Methods for Levy-Driven Carma Stochastic Volatility Models · Study

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PreprintSimulation Methods for Levy-Driven Carma Stochastic Volatility Models

George E. Tauchen2005

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Simulation Methods for Levy-Driven Carma Stochastic Volatility Models

George E. Tauchen · Viktor Todorov

33 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

2003Financial Modelling with Jump Processes 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2002The Fine Structure of Asset Returns: An Empirical Investigation 2003The Impact of Jumps in Volatility and Returns 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2002Range‐Based Estimation of Stochastic Volatility Models

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2007Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models 2012Integration of CARMA processes and spot volatility modelling 2006Multivariate fractionally integrated CARMA processes 2013Which Continuous-Time Model is Most Appropriate for Exchange Rates?

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2006Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Modelsarticle · 23 shared references 2010Econometric analysis of jump-driven stochastic volatility modelsarticle · 15 shared references 2005Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processesarticle · 11 shared references 2009Stochastic Volatilityother · 11 shared references 2006No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implicationsarticle · 10 shared references 2005Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatilityarticle · 10 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.591326

openalex_workW2268173117

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