Jason B Cho
Biographic Data
| ID | 8920597 |
|---|---|
| NAME | Jason B Cho |
| GIVEN NAMES | Jason B |
| FAMILY NAME | Cho |
| SIGNATURE | CHO J B |
| AFFILIATIONS | Cornell University |
| ORCID | 0000-0002-4801-5514 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2026 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 0 |
Smoothing Variances Across Time
We introduce a novel Bayesian framework for estimating time-varying volatility by extending the Random Walk Stochastic Volatility (RWSV) model with Dynamic Shrinkage Processes (DSP) in log-variances. Unlike the classical Stochastic Volatility (SV) or GARCH-type models with restrictive parametric stationarity assumptions, our proposed Adaptive Stochastic Volatility (ASV) model provides smooth yet dynamically adaptive estimates of evolving volatili…
No prominent works on this page.
Smoothing Variances Across Time
We introduce a novel Bayesian framework for estimating time-varying volatility by extending the Random Walk Stochastic Volatility (RWSV) model with Dynamic Shrinkage Processes (DSP) in log-variances. Unlike the classical Stochastic Volatility (SV) or GARCH-type models with restrictive parametric stationarity assumptions, our proposed Adaptive Stochastic Volatility (ASV) model provides smooth yet dynamically adaptive estimates of evolving volatili…
Financial Risk and Volatility Modeling (1 works) · Risk and Portfolio Optimization (1 works) · Smoothing (1 works) · Stochastic process (1 works) · Stochastic processes and financial applications (1 works) · Stochastic volatility (1 works)