This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which … vary according to whether they are in low or high volatility regimes. …

, 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 …

In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is … the negative correlation between returns shocks and subsequent shocks to volatility (see Black 1979). McAleer (2014 …

moments, we show that it can quantitatively account for the observed stock price volatility, the persistence of the price …

successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …