This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate … volatility, and asymmetric S&P500 index returns on option prices. We compute option prices using both reprojected underlying … historical volatilities and the implied risk premium of stochastic volatility to gauge each model's performance through direct …

follow the literature s standard affine model which allows asset prices to exhibit stochastic volatility and random jumps …

parametric bootstrapping accounting for estimation of the Kriging parameters. (2) Optimization with constraints for multiple …

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too … variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH … terms only. The empirical application on U.S. dollar exchange rates shows that our model indeed yields better volatility …

more important for higher rated bonds (AAA and AA).The stock return and the implied volatility of the stock price seem to …

consumption growth process. The hidden states di¤er both for the mean and the volatility. We show that the ambiguity …-averse investor downweights high-mean states in favor of low-mean ones. However, such distortion appears much stronger in low-volatility … regimes: high volatility attenuates the distortion due to ambiguity concerns. It follows that (i) ambiguity aversion always …

An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used …

investment funds traces out a meanvariance tradeoff for the growth rate of the economy. In particular, the volatility of these … and volatility. …

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU … volatility. …