liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

This paper proposes the new concept of stochastic leverage in stochastic volatility models.Stochastic leverage refers … stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic … tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility models which …

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 …

floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign … exchange return and its volatility. Particularly, an increase in the return at time t results in an increase in volatility at … decrease in volatility at time t + 1. The results imply that a central bank with a volatility smoothing policy would be biased …

bring volatility to emerging markets. Are there mechanisms to reap the benefits of capital flows without being hurt by their … volatility? Are current practices, such as large reserves accumulation, public deleveraging, and export promotion strategies …, efficient external insurance mechanisms? In this paper we start by documenting the external volatility faced by emerging markets …

volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …