We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …

Arbitrage-Free class of dynamic Nelson-Siegel term structure models with stochastic volatility to obtain the domestic and …

, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact … measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized …

) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent … (Euro, Yen, Pound), using high-frequency data since the beginning of the European Monetary Union. Estimated volatility paths … structure. Correlation paths display frequent shifts along the whole sample, both in low and in high volatility phases, pointing …