definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to … volatility. This finding indicates that the stock returns may have a multifractal nature. Another scaling property of stock … show that after a major fall in the stock returns, the stock market volatility above a certain threshold shows a power law …

weakly autocorrelated and confirmed the presence of long memory as well as short memory in the GARCH volatility, (4) used an …

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 …