good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios …. Modelling the correlation explicitly is shown to produce the best hedges when applied to the simulated data. For financial time …

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi …

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …

We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a …

Correlation models, such as Constant Conditional Correlation (CCC) GARCH model or Dynamic Conditional Correlation (DCC … constant correlation tests into correlation models has been proven to be helpful in terms of the improvement of the accuracy of … VaR or ES forecasts. Galeano & Wied (2017) suggested an algorithms for detecting structural breaks in the correlation …