We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be … homogeneity, then the estimate of the volatility can be simply obtained by local averaging. We construct a locally adaptive …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an …