the restricted CCC model, and (ii) that all the elements of the conditional covariance matrix share the same degree of …

parametric specification of the volatility process and takes contemporaneous error correlation implicitly into account. Via a …

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 …

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 …

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 …

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 …

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