This paper performs a thorough statistical examination of the time-series properties of the market volatility index …

virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time … illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model. …

This paper presents a new numerical method for pricing American call options when the volatility of the price of the … volatility changes, we derive an integral representation of an American call price and the early exercise premium which holds … under stochastic volatility. This representation is used to develop a numerical method for pricing the American options …

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this … stochastic volatility models. The empirical analysis on stock returns on the US market shows that 1% and 5 % Value …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

In this paper, I estimate a series of long run reallocative shocks to sectoral employment using a stochastic volatility …

stochastic volatility model of sectoral employment growth. Reallocative shocks have no effect on the natural rate of unemployment …

The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We … suggest use of the principal component methodology of Stock and Watson (2002) for the stochastic volatility factor model …