Stochastic volatility models, aka SVOL, are more difficult to estimate than standard time-varying volatility models … volatility forecasts especially around crucial periods of high volatility. We extend the basic SVOL needs to allow for the … model diagnostics, such as the identification of outliers for stochastic volatility models or the assessment of the …

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 not only the volatility risk and the interest rate risk which … produced by a cross-correlation effect between the state variables which enter into the stochastic volatility process of the …

equilibrium beta pricing as well as asset pricing with stochastic volatility, stochastic interest rates and other state variables …

English Abstract: The purpose of this study is to measure the impact of volume and volatility on the efficiency of six … (respectively Benin, Niger, Togo, Burkina Faso, Cote d'Ivoire and Senegal) and identify relationships between efficiency, volatility … markets efficiency’s volatility. We also realized that exchange volumes have significant effects, for the whole set of BRVM …