Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we … introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence … effects. The finiteness of moments and the second order structure of the volatility, the log returns, as well as their …

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 …

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

volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both …This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows … the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of …

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … volatility contributes to an improvement in density forecast accuracy …