WA multivariate stochastic volatility (MSV) model based on a Cholesky-type decomposition of the covariance matrix to model dynamic correlation in the observation and transition error as well as in cross leverage terms is proposed. The empirically relevant asymmetric concept of cross leverage is...

A high frequency stochastic volatility (SV) model is proposed. Price duration and associated absolute price change in event time are modeled contemporaneously to fully capture volatility on the tick level, combining the SV and stochastic conditional duration (SCD) model. Estimation is with IBM...

A very general stochastic volatility (SV) model specification with leverage, heavy tails, skew and switching regimes is proposed, using realized volatility (RV) as an auxiliary time series to improve inference on latent volatility. The information content of the range and of implied volatility...