leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default …

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on …

In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility … remarkably simple volatility extraction filter based on a polynomial lag structure of implied volatilities. The bivariate …

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and …-normal jumps or constant jump intensity combined with a one factor stochastic volatility model. We introduce several … intensity jump processes which feature correlation between the stochastic volatility and jump component. We also allow for and …

much interrelated, and we explore the relationships in detail. Among other things, we show that: (1) Volatility dependence … overwhelming evidence of volatility dependence. (2) The standard finding of little or no conditional mean dependence is entirely … consistent with a significant degree of sign dependence and volatility dependence. In particular, sign dependence does not imply …

Discrete time stochastic volatility models (hereafter SVOL) are noticeably harder to estimate than the successful ARCH …(volatilities/ parameters) and p(parameters). This hierarchy provides a natural environment for the construction of stochastic volatility models …, therefore, provides a general perspective on specification and implementation of stochastic volatility models. We apply various …