In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … mathematical regularity properties, including invertibility, to determine the likelihood function for estimation, and the … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is …

, 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 …

volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 … the paper is to derive a simple test for causality in volatility that provides regularity conditions arising from the …