In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007 … and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the … implied volatility of short-dated at-the-money option prices. We conduct MLE in order to estimate the parameters of the …

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and …