A comparison between several correlated stochastic volatility models

被引：25

作者：

Perelló, J

Masoliver, J

Anento, N

机构：

[1] Univ Barcelona, Dept Fis Fonamental, E-08028 Barcelona, Spain

[2] Gaesco Bolsa SVB SA, Barcelona 08036, Spain

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2004年 / 344卷 / 1-2期

关键词：

volatility autocorrelation; leverage; stochastic volatility models;

D O I：

10.1016/j.physa.2004.06.103

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We compare the most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston and the exponential OU models. We try to decide which is the most appropriate one by studying their volatility autocorrelation and leverage effect, and thus outline the limitations of each model. We add empirical research on market indices confirming the universality of the leverage and volatility correlations. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：134 / 137

页数：4

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