Now showing items 1-2 of 2

    • Computationally Efficient Multi-Asset Stochastic Volatility Modeling 

      Fang, Yizhou (University of Waterloo, 2018-08-24)
      Stochastic volatility (SV) models are popular in financial modeling, because they capture the inherent uncertainty of the asset volatility. Since assets are observed to co-move together, multi-asset SV (mSV) models are ...
    • Stochastic Volatility Models and Simulated Maximum Likelihood Estimation 

      Choi, Ji Eun (University of Waterloo, 2011-08-02)
      Financial time series studies indicate that the lognormal assumption for the return of an underlying security is often violated in practice. This is due to the presence of time-varying volatility in the return series. The ...


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