simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

incomplete information about the unknown stochastic volatility. The option price is determined by a uniform-price auction. Thus … unknown stochastic volatility under an explicit market structure. This paper incorporates market microstructure considerations … into an extended Black-Scholes model with incomplete information on the underlying volatility. It relies on the growing …

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 …

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