On the applicability of stochastic volatility models

DOI10.1016/j.csda.2006.08.002zbMath1157.62522OpenAlexW2042486909MaRDI QIDQ1010565

Suojin Wang, Myung Suk Kim

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.002

zbMATH Keywords

Bayesian inferencestochastic volatility modelruns testdrift functionshort interest ratestochastic volatility model with jumpsUS treasury bill yields

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (4)

Implied volatility in oil markets ⋮ Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model ⋮ Computational techniques for applied econometric analysis of macroeconomic and financial processes ⋮ Consistent estimation in regression models for the drift function in some continuous time models

Cites Work

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• A Theory of the Term Structure of Interest Rates
• On effects of discretization on estimators of drift parameters for diffusion processes
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

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