Biblioteca Digital de VanguardiaPricing Derivatives Securities with Prior Information on Long- Memory Volatility
This paper investigates the existence of long memory in the volatility of the Mexican stock market. We use a stochastic volatility (SV) model to derive statistical test for changes in volatility. In this case, estimation is carried out through the Kalman filter (KF) and the improved quasi-maximum li...
| Autores principales: | , |
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| Formato: | artículo científico |
| Lenguaje: | Inglés |
| Publicado: |
Centro de Investigación y Docencia Económicas, A.C.
2003
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| Materias: | |
| Acceso en línea: | http://www.redalyc.org/articulo.oa?id=32312104 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82834 |
| _version_ | 1782336171234295808 |
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| author | Alejandro Islas Camargo Francisco Venegas Martínez |
| author_facet | Alejandro Islas Camargo Francisco Venegas Martínez |
| author_sort | Alejandro Islas Camargo |
| collection | Repositorio |
| description | This paper investigates the existence of long memory in the volatility of the Mexican stock market. We use a stochastic volatility (SV) model to derive statistical test for changes in volatility. In this case, estimation is carried out through the Kalman filter (KF) and the improved quasi-maximum likelihood (IQML). We also test for both persistence and long memory by using a long-memory stochastic volatility (LMSV) model, constructed by including an autoregressive fractionally integrated moving average (ARFIMA) process in a stochastic volatility scheme. Under this framework, we work up maximum likelihood spectral estimators and bootstraped confidence intervals. In the light of the empirical findings, we develop a Bayesian model for pricing derivative securities with prior information on long-memory volatility. |
| format | artículo científico |
| id | clacso-CLACSO82834 |
| institution | CLACSO, Repositorio Digital |
| language | Inglés |
| publishDate | 2003 |
| publisher | Centro de Investigación y Docencia Económicas, A.C. |
| record_format | greenstone |
| spelling | clacso-CLACSO828342022-03-22T16:07:32Z Pricing Derivatives Securities with Prior Information on Long- Memory Volatility Alejandro Islas Camargo Francisco Venegas Martínez Economía y Finanzas contingent pricing econometric modeling This paper investigates the existence of long memory in the volatility of the Mexican stock market. We use a stochastic volatility (SV) model to derive statistical test for changes in volatility. In this case, estimation is carried out through the Kalman filter (KF) and the improved quasi-maximum likelihood (IQML). We also test for both persistence and long memory by using a long-memory stochastic volatility (LMSV) model, constructed by including an autoregressive fractionally integrated moving average (ARFIMA) process in a stochastic volatility scheme. Under this framework, we work up maximum likelihood spectral estimators and bootstraped confidence intervals. In the light of the empirical findings, we develop a Bayesian model for pricing derivative securities with prior information on long-memory volatility. 2003 2022-03-22T16:07:32Z 2022-03-22T16:07:32Z artículo científico http://www.redalyc.org/articulo.oa?id=32312104 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82834 en http://www.redalyc.org/revista.oa?id=323 Economía Mexicana. Nueva Época application/pdf Centro de Investigación y Docencia Económicas, A.C. Economía Mexicana. Nueva Época (México) Num.1 Vol.XII |
| spellingShingle | Economía y Finanzas contingent pricing econometric modeling Alejandro Islas Camargo Francisco Venegas Martínez Pricing Derivatives Securities with Prior Information on Long- Memory Volatility |
| title | Pricing Derivatives Securities with Prior Information on Long- Memory Volatility |
| title_full | Pricing Derivatives Securities with Prior Information on Long- Memory Volatility |
| title_fullStr | Pricing Derivatives Securities with Prior Information on Long- Memory Volatility |
| title_full_unstemmed | Pricing Derivatives Securities with Prior Information on Long- Memory Volatility |
| title_short | Pricing Derivatives Securities with Prior Information on Long- Memory Volatility |
| title_sort | pricing derivatives securities with prior information on long- memory volatility |
| topic | Economía y Finanzas contingent pricing econometric modeling |
| url | http://www.redalyc.org/articulo.oa?id=32312104 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82834 |