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 … optimistic about future growth.Moreover, their optimal portfolio strategy is based not just on a current price divergence but …

processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the … discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …

We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the …, 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 …

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account … volatilities and price level as market observables which parametrize the staticarbitrage bounds of options across strikes and … maturities in a natural way. Option prices are explicit functions of the local implied volatilities and price level, and absence …

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

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 …

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … macroeconomic news impacts substantially the volatility of bond returns at all maturities by increasing jump intensities and by …