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 …

hedging. We use martingale arguments to provide upper and lower bounds, in terms of bounds on the correlation, for the value V … martingale measure, the value V B enjoys a monotonicity property in the correlation between tradable and nontradable asset. <BR> …

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 …

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 …

and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility … smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …