French Abstract: A partir de données journalières de la Bourse Régionale des Valeurs Mobilières (BRVM) sur une longue période (2009 à 2014), ce présent mémoire cherche à mesurer l’influence des variables caractérisant les volume et les volatilités sur les rendements de six actions...

Stochastic volatility models, aka SVOL, are more difficult to estimate than standard time-varying volatility models (ARCH). Advances in the literature now offer well tested estimators for a basic univariate SVOL model. However, the basic model is too restrictive for many economic and finance...

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture...

Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time...