We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes …-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that the leverage … effect, or asymmetry between returns and volatility, works primarily through the continuous volatility component. The …

This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers … stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic … tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility models which …

Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we … introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence … effects. The finiteness of moments and the second order structure of the volatility, the log returns, as well as their …

volatility. We decompose the total daily return variability into the continuous sample path variance, the variation arising from … volatility. …

A rapidly growing literature has documented important improvements in financial return volatility measurement and … return volatility. In an application to the DM/$ exchange rate, the S&P500 market index, and the 30-year U.S. Treasury bond … non-jump movements in a simple but sophisticated volatility forecasting model, we find that almost all of the …

-varying diffusive volatility, jumps, and leverage effects in order to satisfactorily describe the daily stock price dynamics. At a …