We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility … and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time … differing orders of approximation, enabling us to identify the common channel through which stochastic volatility in isolation …

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … Tests for Models with Non-Stationary Volatility"]. The panel test is robust to general patterns of cross …

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motion. …