Related papers: Unified Discrete-Time Factor Stochastic Volatility…
Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the large number of latent quantities, their efficient estimation is…
Computing properties of molecular systems rely on estimating expectations of the (unnormalized) Boltzmann distribution. Molecular dynamics (MD) is a broadly adopted technique to approximate such quantities. However, stable simulations rely…
Estimation and prediction in high dimensional multivariate factor stochastic volatility models is an important and active research area because such models allow a parsimonious representation of multivariate stochastic volatility. Bayesian…
Stochastic processes are often used to model complex scientific problems in fields ranging from biology and finance to engineering and physical science. This paper investigates rate-optimal estimation of the volatility matrix of a…
We explore a link between stochastic volatility (SV) and path-dependent volatility (PDV) models. Using assumed density filtering, we map a given SV model into a corresponding PDV representation. The resulting specification is lightweight,…
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency $1/\Delta_n$, with $\Delta_n$ going to zero. The goal of this paper is to provide an estimator for the integral over [0,t] of a given function of…
This paper introduces a dynamic minimum variance portfolio (MVP) model using nonlinear volatility dynamic models, based on high-frequency financial data. Specifically, we impose an autoregressive dynamic structure on MVP processes, which…
This paper introduces a novel process for both factor and idiosyncratic volatility matrices whose eigenvalues follow the vector auto-regressive (VAR) model. We call it the factor and idiosyncratic VAR (FIVAR) model. The FIVAR model accounts…
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…
Several approaches for predicting large volatility matrices have been developed based on high-dimensional factor-based It\^o processes. These methods often impose restrictions to reduce the model complexity, such as constant eigenvectors or…
It is an important task to model realized volatilities for high-frequency data in finance and economics and, as arguably the most popular model, the heterogeneous autoregressive (HAR) model has dominated the applications in this area.…
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional…
We study multidimensional stochastic volatility models in which the volatility process is a positive continuous function of a continuous multidimensional Volterra process that can be not self-similar. The main results obtained in this paper…
The paper presents a strategy to construct an incremental Singular Value Decomposition (SVD) for time-evolving, spatially 3D discrete data sets. A low memory access procedure for reducing and deploying the snapshot data is presented.…
In this paper, we consider the nonstationary matrix-valued time series with common stochastic trends. Unlike the traditional factor analysis which flattens matrix observations into vectors, we adopt a matrix factor model in order to fully…
Low-frequency historical data, high-frequency historical data and option data are three major sources, which can be used to forecast the underlying security's volatility. In this paper, we propose two econometric models, which integrate…
Stochastic volatility models that treat the variance of a time series as a stochastic process have proven to be important tools for analyzing dynamic variability. Current methods for fitting and conducting inference on stochastic volatility…
We consider parametric inference for an ergodic and stationary diffusion process, when the data are high-frequency observations of the integral of the diffusion process. Such data are obtained via certain measurement devices, or if…
This dissertation develops and justifies a novel method for deriving approximate formulas to estimate two parameters in stochastic volatility diffusion models with exponentially-affine characteristic functions and single- or two-factor…
We propose new nonparametric estimators of the integrated volatility of an It\^{o} semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid shrinking to zero. The proposed estimators achieve the…