and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models …. For this purpose, the Standard bivariate mixture model of Tauchen and Pitts (1983) in which volatility and volume are … each endowed with their own dynamic behavior are allowed to direct volatility and volume. Since the latent information …

Most of the empirical applications of the stochatic volatility (SV) model are based on the assumption that the … conditional distribution of returns given the latent volatility process is normal. In this paper the SV model based on a … choice of the conditional distribution has systematic effects on the parameter estimates of the volatility process. …

domestic volatility after good shocks but a bad hedge after crashes …