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Combined multiplicative–Heston model for stochastic volatility

Combined multiplicative-Heston model for stochastic volatility
descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2021Embargo end date: 01 Jan 2018 English Publisher:Elsevier BVJournal:Physica A: Statistical Mechanics and its Applications, volume 561, page 125,263 (issn: 0378-4371, Copyright policy )
Authors: Dashti Moghaddam, M.; Serota, R. A.;

doi: 10.1016/j.physa.2020.125263 , 10.48550/arxiv.1807.10793

arXiv: 1807.10793

Combined multiplicative–Heston model for stochastic volatility

Abstract

We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-state distribution in this model is a Beta Prime and is characterized by the power-law behavior at both large and small volatilities. We discuss the reasoning behind using this model as well as consequences for our recent analyses of distributions of stock returns and realized volatility.

10 pages, 7 figures

Related Organizations
Keywords

beta prime, distribution tails, Statistical Finance (q-fin.ST), volatility, Quantitative Finance - Statistical Finance, Mathematical Finance (q-fin.MF), Statistical mechanics, structure of matter, multiplicative, FOS: Economics and business, Quantitative Finance - Mathematical Finance, Heston

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    popularity
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    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
5
Top 10%
Average
Average
Green