alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized …Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is …

-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 …

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 …