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 …

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 …

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 …

risk. The so-called Stochastic Volatility Nelson–Siegel (SVNS) model allows for stochastic volatility in the underlying …-varying volatility in the yield factors is found. The inclusion of stochastic volatility improves the model's goodness-of-fit and clearly … reduces the forecasting uncertainty, particularly in low-volatility periods. The proposed approach is shown to work …

differences of opinion is left, and hence volatility is decreased. …