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 …

approach we obtain decreasing state price densities per unit probability as suggested by economic theory, validating our GARCH … pricing model. Implied volatility smiles appear to be explained by the negative asymmetry of the filtered historical … hedging in the presence of large volatility shocks. …

This paper extends the class of deterministic volatility Heath-Jarrow-Morton (1992) models to a Markov chain stochastic … volatility framework allowing for jump discontinuities and a variety of deformations of the term structure of forward rate … volatilities. Analytical solutions for the dynamics of the volatility term structure are obtained. Semimartingale decompositions of …

from a given set defined by the parametric volatility specification and the structure of a continuous time Markov chain that … modulates the volatility function. The first stochastic volatility specification generates jump discontinuities in volatility and … shape-preserving evolution of the volatility term structure in thefuture. The second specification allows, in addition, for …

) estimation of the conditional mean vector and the conditional volatility matrix of a multivariate interest rate series. The … principal components, a multivariate CCC-GARCH model, or the exponential smoothing volatility forecasting technique used by the …

We show that the volatility of a price process, which is usuallyregarded as an impediment to financial growth, can serve …

and Stein stochastic volatility model driven by two correlated Brownian motion. It turns out that in case the mean … filtration my achieve a higher expected exponential utility from terminal wealth than an investor who can only observe the price …

complex models as for example stochastic volatility model of Barndorff-Nielsen and Shephard (2001) have been developed. This … allows to deal with the so called leverage type problem, i.e. for equities a fall in the price is associated with an increase … in future volatility.[...] …