Implied volatility (IV) reflects both expected empirical volatility and also risk premia. Stochastic variation in … volatilities and correlations among daily IVs from options on 28 large cap stocks. The data strong support a general correlation …

good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios …. Modelling the correlation explicitly is shown to produce the best hedges when applied to the simulated data. For financial time …

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi …

Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the … multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility framework and … estimating parameters in a stochastic volatility model is challenging, we introduce a robust methodology based on the Generalized …