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Hybrid simulation scheme for volatility modulated moving average fields

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Hybrid simulation scheme for volatility modulated moving average fields. / Heinrich, Claudio; Pakkanen, Mikko; Veraart, Almut.

In: Simulation, Vol. 166, No. December, 12.2019, p. 224-244.

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Heinrich, Claudio ; Pakkanen, Mikko ; Veraart, Almut. / Hybrid simulation scheme for volatility modulated moving average fields. In: Simulation. 2019 ; Vol. 166, No. December. pp. 224-244.

Bibtex

@article{6909c0ec49c94772b64d655b027a59fa,
title = "Hybrid simulation scheme for volatility modulated moving average fields",
abstract = "We develop a simulation scheme for a class of spatial stochastic processes called volatility modulated moving averages. A characteristic feature of this model is that the behaviour of the moving average kernel at zero governs the roughness of realisations, whereas its behaviour away from zero determines the global properties of the process, such as long range dependence. Our simulation scheme takes this into account and approximates the moving average kernel by a power function around zero and by a step function elsewhere. For this type of approach, Bennedsen et al. (2017), who considered an analogous model in one dimension, coined the term hybrid simulation scheme. We derive the asymptotic mean square error of the simulation scheme and compare it in a simulation study with several other simulation techniques and exemplify its favourable performance in a simulation study.",
keywords = "ESTIMATORS, FRACTAL DIMENSION, MODELS, Matern covariance, Moving average, REPRESENTATIONS, Random field, SERIES, STOCHASTIC VOLATILITY, Stochastic volatility, simulation",
author = "Claudio Heinrich and Mikko Pakkanen and Almut Veraart",
year = "2019",
month = dec,
doi = "10.1016/j.matcom.2019.04.006",
language = "English",
volume = "166",
pages = "224--244",
journal = "Simulation",
issn = "0037-5497",
publisher = ": SAGE Publications ",
number = "December",

}

RIS

TY - JOUR

T1 - Hybrid simulation scheme for volatility modulated moving average fields

AU - Heinrich, Claudio

AU - Pakkanen, Mikko

AU - Veraart, Almut

PY - 2019/12

Y1 - 2019/12

N2 - We develop a simulation scheme for a class of spatial stochastic processes called volatility modulated moving averages. A characteristic feature of this model is that the behaviour of the moving average kernel at zero governs the roughness of realisations, whereas its behaviour away from zero determines the global properties of the process, such as long range dependence. Our simulation scheme takes this into account and approximates the moving average kernel by a power function around zero and by a step function elsewhere. For this type of approach, Bennedsen et al. (2017), who considered an analogous model in one dimension, coined the term hybrid simulation scheme. We derive the asymptotic mean square error of the simulation scheme and compare it in a simulation study with several other simulation techniques and exemplify its favourable performance in a simulation study.

AB - We develop a simulation scheme for a class of spatial stochastic processes called volatility modulated moving averages. A characteristic feature of this model is that the behaviour of the moving average kernel at zero governs the roughness of realisations, whereas its behaviour away from zero determines the global properties of the process, such as long range dependence. Our simulation scheme takes this into account and approximates the moving average kernel by a power function around zero and by a step function elsewhere. For this type of approach, Bennedsen et al. (2017), who considered an analogous model in one dimension, coined the term hybrid simulation scheme. We derive the asymptotic mean square error of the simulation scheme and compare it in a simulation study with several other simulation techniques and exemplify its favourable performance in a simulation study.

KW - ESTIMATORS

KW - FRACTAL DIMENSION

KW - MODELS

KW - Matern covariance

KW - Moving average

KW - REPRESENTATIONS

KW - Random field

KW - SERIES

KW - STOCHASTIC VOLATILITY

KW - Stochastic volatility

KW - simulation

UR - http://www.scopus.com/inward/record.url?scp=85066316567&partnerID=8YFLogxK

U2 - 10.1016/j.matcom.2019.04.006

DO - 10.1016/j.matcom.2019.04.006

M3 - Journal article

VL - 166

SP - 224

EP - 244

JO - Simulation

JF - Simulation

SN - 0037-5497

IS - December

ER -