) through MA(1), and stochastic volatility through GARCH with Gaussian or t distributed errors. …

diffusion processes and observation regimes; examples include stochastic volatility and latent survival models. In contrast with …

We determine the minimal entropy martingale measure for a general class of stochastic volatility models where both … price process and volatility process contain jump terms which are correlated. This generalizes previous studies which have … treated either the geometric Lévy case or continuous price processes with an orthogonal volatility process. We proceed by …

if news are not generated by a stochastic volatility process, in the presence of information treatment and/or order … processing costs, the (unique) equilibrium price process is characterised by stochastic volatility. The intuition behind this …. Since new (constant volatility) information is released to the market at trading times, the price process sampled at trading …

volatility into these four sources, quantify their contribution to aggregate volatility, and study how they relate to the stage …, and slowly increases at later stages of development. Third, the volatility of country-specific macroeconomic shocks falls … with the level of development. We argue that many theories linking volatility and development are not consistent with these …