depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive … (respectively dividend-price ratio) is stochastic and our model represents excess volatility. We discuss whether our assumptions are …

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …