Related papers: Edgeworth corrections for spot volatility estimato…
We propose improved standard errors and an asymptotic distribution theory for two-way clustered panels. Our proposed estimator and theory allow for arbitrary serial dependence in the common time effects, which is excluded by existing…
We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.
The finite sample variance of an inverse propensity weighted estimator is derived in the case of discrete control variables with finite support. The obtained expressions generally corroborate widely-cited asymptotic theory showing that…
A technique for on-line estimation of spot volatility for high-frequency data is developed. The algorithm works directly on the transaction data and updates the volatility estimate immediately after the occurrence of a new transaction.…
While batching methods have been widely used in simulation and statistics, it is open regarding their higher-order coverage behaviors and whether one variant is better than the others in this regard. We develop techniques to obtain…
We derive an explicit asymptotic approximation for implied volatilities of caplets under the assumption that the short-rate is described by a generic quadratic term-structure model. In addition to providing an asymptotic accuracy result, we…
The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calibration. This paper deals with the problem of global…
Accurately characterizing the implied volatility curves is a central challenge in option pricing and risk management. The classical SABR model by Hagan et al. has been widely adopted in practice due to its well-defined stochastic volatility…
We propose a non-parametric extension with leverage functions to the Andersen commodity curve model. We calibrate this model to market data for WTI and NG including option skew at the standard maturities. While the model can be calibrated…
In this paper we consider an ergodic diffusion process with jumps whose drift coefficient depends on $\mu$ and volatility coefficient depends on $\sigma$, two unknown parameters. We suppose that the process is discretely observed at the…
We get the computable error bounds for generalized Cornish-Fisher expansions for quantiles of statistics provided that the computable error bounds for Edgeworth-Chebyshev type expansions for distributions of these statistics are known. The…
In this paper, we modify the Bayes risk for the expectile, the so-called variantile risk measure, to better capture extreme risks. The modified risk measure is called the adjusted standard-deviatile. First, we derive the asymptotic…
Standard eddy viscosity models, while robust, cannot represent backscatter and have severe difficulties with complex turbulence not at statistical equilibrium. This report gives a new derivation of eddy viscosity models from an equation for…
We introduce an estimation method for the scaled skewness coefficient of the sample mean of short and long memory linear processes. This method can be extended to estimate higher moments such as curtosis coefficient of the sample mean. Also…
It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous variance correlation to be stochastic.…
We propose a novel time discretization for the log-normal SABR model which is a popular stochastic volatility model that is widely used in financial practice. Our time discretization is a variant of the Euler-Maruyama scheme. We study its…
The present manuscript is concerned with component-wise estimation of the positive power of ordered restricted standard deviation of two normal populations with certain restrictions on the means. We propose several improved estimators under…
We introduce a new variational estimator for the intensity function of an inhomogeneous spatial point process with points in the $d$-dimensional Euclidean space and observed within a bounded region. The variational estimator applies in a…
Consider the matrix products $G_n: = g_n \ldots g_1$, where $(g_{n})_{n\geq 1}$ is a sequence of independent and identically distributed positive random $d\times d$ matrices. Under the optimal third moment condition, we first establish a…
We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of…