Times Series Analysis of Calibrated Parameters of Two-factor Stochastic Volatility Model
Stochastic volatility models have become essential for financial modelling and forecasting.The present thesis works with a two-factor stochastic volatility model that is reduced to four parameters. We start by making the case for the model that best fits data, use that modelto produce said parameter...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2019
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44644 |