volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

First Version: 03/11/2015This Version: 04/01/2016We expand the literature of volatility and Value-at-Risk forecasting … of oil price returns by comparing the recently proposed Mixture Memory GARCH (MMGARCH) model to other discrete volatility … MMGARCH and find regimes that differ in volatility level as well as shock persistence. Furthermore, we observe dissimilar …

This paper models price volatility through description of the second-degree transactions and expectations averaged by … time interval Δ. We call it - the second-order economic theory. First two price statistical moments define volatility. To … model volatility one needs description of the squares of trades aggregated during interval Δ. To describe price probability …

volatility via volatilities of the value and the volume and the number of trades during interval Δ. We introduce notions of the … value and the volume returns and describe price returns volatility through volatilities of the volume and the value returns … market transactions. Adequate model of volatility requires macroeconomic theory that describes second-degree value and volume …

the volatility of natural gas trading …

estimate complex latent state variable models with unknown parameters. The framework is applied to a stochastic volatility … model with independent jumps in returns and volatility. The implementation is based on a novel design of adapted proposal … algorithm to estimate stochastic volatility with jumps in returns and volatility model based on the Prague stock exchange …

and other market outcomes such as volatility, liquidity, price efficiency and price discovery. Despite commonly held …

Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility … volatility. For instance, a target volatility call can be viewed as a European call whose notional amount depends on the ratio of … the target volatility (a fixed quantity representing the investor's expectation of the future realized volatility) and the …