-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 …

. In particular the relationship between speculation and price volatility on the one side, and the linkage between … excessive speculation and price volatility on the other side, is carefully examined with the scope to establish whether … volatility drives speculation or speculation drives price volatility, or whether there are no linkages between the two variables …