autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con … ; yield curve risk ; stochastic volatility ; factor models ; macroeconomic fundamentals …

autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary … policy and employment growth. -- Term Structure Modelling ; Yield Curve Risk ; Stochastic Volatility ; Factor Models …

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

's dynamic properties may lead to misestimation of the intraday spot volatility. …

autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con …

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …