various assumptions about the underlying price process including large drifts, stochastic volatility with leverage effects and … futures data sampled at a 5-minute frequency. A state-space framework reveals the latent stochastic volatility process and …

The long memory characteristic of financial market volatility is well documentedand has important implications for … volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional … variance differently and could have very different volatility persistentparameters. Hence, they produce very different …

This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process …

While stochastic volatility models improve on the option pricing error when compared to theBlack-Scholes-Merton model …

identically distributed normal returns, and as consequencedevelop an improved model for non-stationary returns. Therein volatility …

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of …