Pricing Derivatives Securities with Prior Information on Long- Memory Volatility
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| Format: | Artículo científico |
| Language: | en |
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Centro de Investigación y Docencia Económicas, A.C.
2003
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| _version_ | 1876447209818423296 |
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| author | Francisco Venegas Martínez |
| author_facet | Francisco Venegas Martínez |
| contents | Pricing Derivatives Securities with Prior Information on Long- Memory Volatility Francisco Venegas Martínez Alejandro Islas Camargo Economía y Finanzas contingent pricing econometric modeling This paper investigates the existence of long memory in thevolatility of the Mexican stock market. We use a stochastic volatility (SV)model to derive statistical test for changes in volatility. In this case, estimationis carried out through the Kalman filter (KF) and the improvedquasi-maximum likelihood (IQML). We also test for both persistence andlong memory by using a long-memory stochastic volatility (LMSV) model,constructed by including an autoregressive fractionally integrated movingaverage (ARFIMA) process in a stochastic volatility scheme. Under thisframework, we work up maximum likelihood spectral estimators andbootstraped confidence intervals. In the light of the empirical findings,we develop a Bayesian model for pricing derivative securities with priorinformation on long-memory volatility. 2003 artículo científico 1665-2045 https://www.redalyc.org/articulo.oa?id=32312104 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 |
| format | Artículo científico |
| id | redalyc_32312104 |
| institution | Redalyc |
| language | en |
| publishDate | 2003 |
| publisher | Centro de Investigación y Docencia Económicas, A.C. |
| spellingShingle | Pricing Derivatives Securities with Prior Information on Long- Memory Volatility Francisco Venegas Martínez Economía y Finanzas contingent pricing econometric modeling Pricing Derivatives Securities with Prior Information on Long- Memory Volatility Francisco Venegas Martínez Alejandro Islas Camargo Economía y Finanzas contingent pricing econometric modeling This paper investigates the existence of long memory in thevolatility of the Mexican stock market. We use a stochastic volatility (SV)model to derive statistical test for changes in volatility. In this case, estimationis carried out through the Kalman filter (KF) and the improvedquasi-maximum likelihood (IQML). We also test for both persistence andlong memory by using a long-memory stochastic volatility (LMSV) model,constructed by including an autoregressive fractionally integrated movingaverage (ARFIMA) process in a stochastic volatility scheme. Under thisframework, we work up maximum likelihood spectral estimators andbootstraped confidence intervals. In the light of the empirical findings,we develop a Bayesian model for pricing derivative securities with priorinformation on long-memory volatility. 2003 artículo científico 1665-2045 https://www.redalyc.org/articulo.oa?id=32312104 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 |
| title | Pricing Derivatives Securities with Prior Information on Long- Memory Volatility |
| topic | Economía y Finanzas contingent pricing econometric modeling |
| url | https://www.redalyc.org/articulo.oa?id=32312104 |