-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields …

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned … stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it … produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating …

volatility. The news component of volatility is not positively autocorrelated on these dates, since the news is released at a … these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models … unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied … volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We …

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time … as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We …