This paper examines how well alternate time-changed Lévy processes capture stochastic volatility and the substantial …-factor stochastic volatility/Lévy models with time-varying autocorrelation via extensions of the Bates (2006) methodology that provide … filtered daily estimates of volatility and autocorrelation. The paper explores option pricing implications, including for the …

by a simple transformation of the parameters characterizing the highest volatility tree, which allows a simultaneous … captured through a transition probability matrix. An econometric analysis is provided to pick reasonable volatility values for …

We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The … and volatility regimes, as asset pricing theory suggests. Empirically, the model matches implied volatility surfaces and …

The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC … market volatility, especially in Mexico. …

Previous evidence suggests that the implied volatility from equity index options, as a measure of stock market … contribution of implied volatility in understanding transition dynamics. We confirm that implied volatility provides information …

The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC … market volatility, especially in Mexico. …

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too … variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH … terms only. The empirical application on U.S. dollar exchange rates shows that our model indeed yields better volatility …