This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy …-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations … several stochastic volatility models are formally compared under different priors on the parameters. …

, in addition to a double gamma process to reflect the stochastic nature of volatility coefficients. The leverage effect …. One application of this model is to price volatility contracts whose payoffs depend on realized variance or volatility …

factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its …. (2006). 'Analysis of high dimensional multivariate stochastic volatility models', Journal of Econometrics, 134(2), 341 …

, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

This paper empirically examines the impact of oil price levels and volatility on key macroeconomic indicators of … Indonesia. In particular, two measures of volatility – historical volatility and realized volatility – are utilized and compared … for their different macroeconomic impacts. The relationships between oil price levels, the two volatility measurements …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

Stochastic volatility (SV) models provide a means of tracking and forecasting the variance of financial asset returns …

performs ad hoc adjustments based on the observed implied volatility. We also compare the hedging effectiveness of the two … deteriorates moderately, indicating the likely existence of additional random factors such as stochastic volatility. …