liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign … exchange return and its volatility. Particularly, an increase in the return at time t results in an increase in volatility at … decrease in volatility at time t + 1. The results imply that a central bank with a volatility smoothing policy would be biased …

Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we … introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence … effects. The finiteness of moments and the second order structure of the volatility, the log returns, as well as their …

This paper proposes the new concept of stochastic leverage in stochastic volatility models.Stochastic leverage refers … stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic … tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility models which …

In this study, variance changing to the scale and multi-scale Capital Asset Pricing Model (CAPM) is tested by Wavelets …

In this study, variance changing to the scale and multi-scale Capital Asset Pricing Model (CAPM) is tested by Wavelets …