In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

-time version of the stochastic volatility (SV) model. The Bayesian approach represents a feasible way to estimate SV models. Under …

evidence for stochastic intensity and stochastic volatility models based on Ornstein-Uhlenbeck processes. For our empirical …

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

This paper investigates three formulations of the leverage effect in a stochastic volatility model with a skewed and … errors are correlated. The second is a hierarchical one, where log-volatility depends on the past log-return multiplied by a …