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

find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an … problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice … of volatility. Much research has been done on the analysis of realized historic volatilities, Roll (1977) and references … solved for the constant volatility parameter a using observed option prices. This is a more natural approach as the option …

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the … prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the …

to a parametric approach, namely the multivariate GARCH model. -- stochastic volatility model ; adaptive estimation … assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes … arises from the high dimensionality implied by a simultaneous analysis of variances and covariances. Parametric volatility …

tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …

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