I perform a regression analysis to test two of the most famous heuristic rules existing in the literature concerning the behavior of the implied volatility surface. These rules are the <italic>sticky delta</italic> rule and the <italic>sticky strike</italic> rule. I present a new specification to test the sticky strike rule that...

This article considers a multi-asset model based on Wishart processes that accounts for stochastic volatility and for stochastic correlations between the underlying assets, as well as between their volatilities. The model accounts for the existence of correlation term structure and correlation...

This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the...

This paper analyses to what extent the rejection of the investment dynamics implied by the Euler equation model with quadratic and symmetric adjustment costs can be attributed to the fact that the investment behavior of some firms in some periods is financially constrained by the availability of...