This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. The following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...

This paper proposes a systematic framework for analyzing the dynamic effects of permanent and transitory shocks on a system of "n" economic variables.

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.

We instillate rational cognition and learning in "seemingly riskless" choices and judgments. Preferences and possibilities are given in a stochastic sense and based on revisable expectations. The theory predicts experimental preference reversals and passes a sharp econometric test of the status...

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments.

This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not...

This paper develops a general stochastic framework and an equilibrium asset pricing model theat make clear how attitudes towards intertemporal substitution and risk matter for option pricing; In particular we show under which statistical conditions option princing formulas are not...

In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.