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Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
Asai, M. / McAleer, M.J. / Peiris, S.
statistical inference / stochastic processesResource overview

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Paper2017

by Asai, M., McAleer, M.J., Peiris, S.

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statistical inferencestochastic processestime series

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Suggested foundations for volatility models and surfaces and financial time series. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  4. Linear Regression

    Read the fitted relationship and its residuals.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

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Explore Advanced Derivatives and Exotic Options Explore Econometrics and Financial Time Series

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