This paper proposes a couple of new methods to compute the news impact curve for stochastic volatility (SV) models. The … new methods incorporate the joint movement of return and volatility, which has been ignored by the extant literature. The … the volatility asymmetry for the asymmetric SV models. …

normality. These include volatility clustering, heavy-tailedness and serial dependence. A voluminous literature on different … variety of highly flexible stochastic volatility models, and introduce some efficient algorithms based on recent advances in …

approximation in this setting, with a stochastic volatility model for financial returns used for illustration. …

-memory stochastic volatility models, testing for independence between functional time series, statistical inference for panel dynamic …

analysis for long-memory stochastic volatility models, testing for independence between functional time series, statistical …

Nowcasting volatility of financial time series appears difficult with classical volatility models. This paper proposes … volatility, given past and current returns, in a very simple way. The model can be viewed as a degenerate case of the stochastic … volatility model with perfect correlation between the two error terms. It is shown that the volatility nowcasts do not depend on …

estimate the parameters of continuous-time stochastic volatility models with auxiliary specifications based on realized … volatility measures. Monte Carlo simulations shows the bias reduction of the indirect estimates obtained when the microstructure …

-memory stochastic volatility models, testing for independence between functional time series, statistical inference for panel dynamic …