simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where …

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all …

most important factor in reducing portfolio variance is the use of a flexible model for time varying volatility, rather … good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …

conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …