Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
| dc.contributor.author | Pospíšil, Jan | |
| dc.contributor.author | Sobotka, Tomáš | |
| dc.contributor.author | Ziegler, Philippe | |
| dc.date.accessioned | 2019-12-09T11:00:17Z | |
| dc.date.available | 2019-12-09T11:00:17Z | |
| dc.date.issued | 2019 | |
| dc.description.abstract-translated | In this paper, we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the jump part in the underlying model dynamics. Also an impact of the long memory parameter is measured for the approximative fractional SV model (FSV). For the first time, the robustness of calibrated models is measured using bootstrapping methods on market data and Monte Carlo filtering techniques. In contrast to several other sensitivity analysis approaches for SV models, the newly proposed methodology does not require independence of calibrated parameters - an assumption that is typically not satisfied in practice. Empirical study is performed on a data set of Apple Inc. equity options traded in four different days in April and May 2015. In particular, the results for Heston, Bates and approximative FSV models are provided. | en |
| dc.format | 24 s. | cs |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | POSPÍŠIL, J., SOBOTKA, T., ZIEGLER, P. Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure. Empirical Economics, 2019, roč. 57, č. 6, s. 1935-1958. ISSN 0377-7332. | en |
| dc.identifier.document-number | 494824300006 | |
| dc.identifier.doi | 10.1007/s00181-018-1535-3 | |
| dc.identifier.issn | 0377-7332 | |
| dc.identifier.obd | 43916434 | |
| dc.identifier.uri | 2-s2.0-85052079492 | |
| dc.identifier.uri | http://hdl.handle.net/11025/36056 | |
| dc.language.iso | en | en |
| dc.project.ID | GA14-11559S/Analýza frakcionálních modelů stochastické volatility a jejich implementace v gridu | cs |
| dc.publisher | Physica-Verlag | en |
| dc.relation.ispartofseries | Empirical Economics | en |
| dc.rights | © Physica-Verlag | en |
| dc.rights.access | openAccess | en |
| dc.subject.translated | robustness analysis | en |
| dc.subject.translated | sensitivity analysis | en |
| dc.subject.translated | stochastic volatility models | en |
| dc.subject.translated | bootstrapping | en |
| dc.subject.translated | Monte Carlo filtering | en |
| dc.title | Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure | en |
| dc.type | článek | cs |
| dc.type | preprint | cs |
| dc.type | postprint | cs |
| dc.type | article | en |
| dc.type | preprint | en |
| dc.type | postprint | en |
| dc.type.status | Peer-reviewed | en |
| dc.type.version | publishedVersion | en |
| dc.type.version | acceptedVersion | en |
| dc.type.version | draft | en |