forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of … volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both … risk, and volatility trading …

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … volatility contributes to an improvement in density forecast accuracy …

The aim of this paper is to find optimal portfolio strategies for an n-stock extension of the stochastic volatility …