simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand …

generates a stochastic wealth dynamics on aheterogenous population of traders through the uctuation of asset prices and … models is given by random dynamical systems. This chapter surveys the recentprogress made by the authors in the theory and …

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …

individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …

price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two … are deterred by their presence and reduce the proportion of wealth invested into equity except when they are extremely …

discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account …-option market models with a prespecified volatility structure. …

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …