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Estimating Correlated Jumps and Stochastic Volatilities
Main topics of the document: jump-diffussion; stochastic volatility; MCM...
AH - Ekonomie
- 2013 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Using High-frequency Power-variation Estimators in the Bayesian Estimation of Stochastic-volatility Jump-diffusion Models
Main topics of the document: stochastic volatility; self-exciting jumps; realized volatility...
AH - Ekonomie
- 2015 •
- D
Rok uplatnění
D - Stať ve sborníku
Analysis of S&P 500 Using Stochastic Volatility Model
Basic themes of document: stochastic volatility; S&P 500; Kalman filter...
BB - Aplikovaná statistika, operační výzkum
- 2016 •
- D
Rok uplatnění
D - Stať ve sborníku
Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods
Main topics of the document: stochastic volatility; Bayesian inference; quadratic variation...
AE - Řízení, správa a administrativa
- 2016 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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Applications of Stochastic Analysis in Quantitative Finance
The purpose of this workshop is to present recent advances in applications of stochastic analysis in quantitative finance. Contributed talks will focus on but are not limited to stochastic volatility models, rough volat...
Applied mathematics
- 2018 •
- W •
- Link
Rok uplatnění
W - Uspořádání workshopu
Výsledek na webu
Comparison of stochastic volatility estimates: Analysis of S&P 500
Basic themes of document: stochastic volatility; S&P 500; Kalman filter smoother...
Statistics and probability
- 2017 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation
Main topics of the document: Bayesian methods; particle filters; stochastic volatility; jumps...
Public administration
- 2019 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Joint tails impact in stochastic volatility portfolio selection models
parametric stochastic volatility portfolio model without the explicit use of a GARCH type or other parametric stochastic volatility models. We describe the bi-dimensional tree of the portfolio and its stochast...
Finance
- 2020 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Bayesian estimation of stochastic-volatility jump-diffusion models on intraday price returns
Main topics of the document: stochastic volatility; self-exciting jumps; Bayesian inference; intraday seasonality...
AE - Řízení, správa a administrativa
- 2015 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Robust Estimators of Stochastic Volatility: Analysis of S&P 500
Basic themes of document: stochastic volatility; S&P 500; Kalman filter smoother; importance sampling...
Statistics and probability
- 2018 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
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