Volatility is log-normal -- but not for the reason you think
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Volatility is log-normal -- but not for the reason you think. / Tegnér, Martin; Poulsen, Rolf.
I: Risks, Bind 6, Nr. 2, 46, 06.2018.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Volatility is log-normal -- but not for the reason you think
AU - Tegnér, Martin
AU - Poulsen, Rolf
PY - 2018/6
Y1 - 2018/6
N2 - It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be differentiated and empirical evidence overwhelmingly favours a fast mean-reverting log-normal model.
AB - It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be differentiated and empirical evidence overwhelmingly favours a fast mean-reverting log-normal model.
U2 - 10.3390/risks6020046
DO - 10.3390/risks6020046
M3 - Journal article
VL - 6
JO - Risks
JF - Risks
SN - 2227-9091
IS - 2
M1 - 46
ER -
ID: 201613463