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

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we … 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 …

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 … 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 …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

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 …

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