Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …

generated by a process that experiences both jumps and volatility bursts. As a result, the network learns how to disentangle the … for jump screening allows to extract a more precise signal about future volatility …

In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model …

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility … spread option prices is shown to hold, with an explicit plug-in volatility. We present several numerical examples showing …