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

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

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

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

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 … persistence and exhibit poor forecasting ability. Our main emphasis is on models that are similar to previously introduced smooth …

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No …. -- stochastic volatility model ; adaptive estimation ; local homogeneity … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be …

already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric …

obtained as a natural consequence of the approach. Contingent claim prices are computed under the real world measure both in …