Browsing University of Waterloo by Subject "Stochastic Volatility"
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Computationally Efficient Multi-Asset Stochastic Volatility Modeling
(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
(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 ...