flows in the context of a simple two-country dynamic stochastic general equilibrium (DSGE) model. Our focus is on the time …-variation in portfolio allocation following shocks, and the resulting capital flows. We show how endogenous time-variation in …

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 …

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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 …

for the indifference value b of B at any time, even with a fairly general stochastic correlation. Earlier results with …

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 …

We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic … discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …

, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over … 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. …