Out-of-sample performance of continuous time models for equity returns is crucial in practical applications such as computing risk measures like value at risk, determine optimal portfolios or pricing derivatives. For all these applications investors need to model the return distribution of an...

This paper analyzes exponentially affine and non-affine stochastic volatility models with jumps in returns and volatility. Markov Chain Monte Carlo (MCMC) technique is applied within a Bayesian inference to estimate model parameters and latent variables using daily returns from the Samp;P 500...

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are rather heterogeneous. A key result of our investigation...

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are rather heterogeneous. A key result of our investigation...

We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine in the conditional variance but driven by a separate process. We show that...

The models in structured families correspond to the treatments of a fixed effects base design <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\pi $$</EquationSource> </InlineEquation>. Then the action of factors in <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$\pi $$</EquationSource> </InlineEquation>, on the fixed effects parameters of the models, is studied. Analyzing such a families enables the study of the action of nesting factors on the...</equationsource></inlineequation></equationsource></inlineequation>

Of the top ten global commercial property markets, London’s has had the highest transaction turnover for the past decade according to Real Capital Analytics. Its prime real estate is part of every major European and US institutional investor’s portfolio and London’s market has the most...