This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility …, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the …-amplitude distribution in volatility for the optimal portfolio problem. Although unlimited borrowing and short-selling play an important role …

between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying … idiosyncratic choice variables to exhibit independent switches between a high and low volatility regime, we show that the options …' constant expected returns are composed of (i) a state dependent drift term that relates positively with the volatility regime …

heteroskedastic processes with fat-tailed innovations in returns and volatility. We provide a tractable risk neutralization framework …

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally … aggregated models misspecify the evolution frequency of the volatility dynamics, resulting in poor volatility timing and worse … mixed-frequency nature of predictors and volatility in predictive regressions …