volatility models …

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In … both the conditional and stochastic volatility literature, there has been some confusion between the definitions of … volatilities. Then we develop a new asymmetric volatility model, which takes account of small and large, and positive and negative …

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model based on … returns and volatility. The new model is estimated by the efficient importance sampling method of Liesenfeld and Richard (2003 …

This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock … (CBOE) implied (or expected) volatility index (VIX). Intraday high-frequency observations data have become readily available …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …