returns and volatility dynamics of this price showing that a standard ARMA-GARCHframework is not adequate and that the … gaussianity assumption is rejected due to the occurrence of a numberof level and volatility outliers. To improve the fitness of … increases in volume increase volatility even in the absence of changes in what recentliterature considers as market fundamentals …

specicationof (a) the initial density, and (b) the volatility structure of the density. The volatilitystructure is assumed at any …

This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility …

, active andliquid market. The standard stochastic volatility models | whichfocus on the modeling of instantaneous variance … to model directly the VIX index, in amean-reverting local volatility-of-volatility model, which will provide aglobal t to … the VIX market. We then show how to construct the localvolatility-of-volatility surface by adapting the ideas in Carr …

volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

stochastic skewness component unrelated to volatility shocks. Theseproperties are useful in order (i) to model a term structure … of implied volatility skews moreconsistent with the data and (ii) to capture comovements of short and long term skews … largelyunrelated to the volatility dynamics. We estimate our models using about fourteen years ofS&P 500 index option data and nd that …