, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …

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 …

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

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

in line with the theory of storage. We find the opposite; futures prices from markets with flexible power supply behave … according to the expectations theory. The implicit view from futures prices is that flexibility is not a substitute for …