We study the impact of dependence uncertainty on E(X_1X_2 · · · X_d) when X_i ∼ F_i for all i. Under some conditions on the Fi, explicit sharp bounds are obtained and a numerical method is provided to approximate them for arbitrary choices of the F_i. The results are applied to assess the...

This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...