no code implementations • 1 Apr 2024 • Peter Reinhard Hansen, Chen Tong
We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions.
no code implementations • 11 Aug 2023 • Chen Tong, Peter Reinhard Hansen
The Clustered Factor (CF) model induces a block structure on the correlation matrix and is commonly used to parameterize correlation matrices.
no code implementations • 14 Apr 2022 • Peter Reinhard Hansen, Chen Tong
We estimate the model with S&P 500 returns and option prices and find that time-variation in volatility risk aversion brings a substantial reduction in derivative pricing errors.
no code implementations • 10 Dec 2021 • Chen Tong, Peter Reinhard Hansen, Zhuo Huang
We introduce a new volatility model for option pricing that combines Markov switching with the Realized GARCH framework.
no code implementations • 10 Dec 2021 • Peter Reinhard Hansen, Zhuo Huang, Chen Tong, Tianyi Wang
The volatility shock endows the exponentially affine SDF with a compensation for volatility risk.
