Ronald Mahieu

Overview

Ronald J. Mahieu is a financial econometrician. His research focuses on stochastic volatility estimation, exchange rate dynamics, and options pricing with latent volatility processes.

Key Contributions / Features

• Stochastic Volatility — Mixture of Normals (Mahieu-Schotman 1998) — "An Empirical Application of Stochastic Volatility Models," Journal of Applied Econometrics 13 (1998) 333–359. Extended the Kim-Shephard-Chib (1998) fixed-mixture-of-normals approximation to a flexible mixture with estimated components; documented severe QML bias in SV parameter estimation; showed that measurement noise ($\pi^2/2$) dominates total variation in log-squared returns for weekly exchange rates; applied to option pricing with simulation. See Stochastic Volatility.

Related

• Stochastic Volatility
• Peter Schotman
• Eric Jacquier