liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

. Spatial econometrics focuses on the specification and estimation of regression models explicitly incorporating such spatial …

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …

volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive …

We present a new framework for the joint estimation of the default-free government term structure and corporate credit …

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect … from other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …