We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes …-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that the leverage … effect, or asymmetry between returns and volatility, works primarily through the continuous volatility component. The …

and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can …

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …

, 335 (1998)]. We hypothesise that the volatility scaling we find for these GDP constituents causes the volatility scaling …

, 335 (1998)]. We hypothesise that the volatility scaling we find for these GDP constituents causes the volatility scaling …

return and its volatility. Although this characteristic of stock returns is well acknowledged, most studies about it are … stochastic volatility context and for high frequency data. The consistency and limit distribution of the estimators are derived …, e.g. volatility of volatility …

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …

returns have a negative relationship with the volatility, and the volatility process responds asymmetrically to shocks to …, within which the returns have a positive relationship with the volatility, and the volatility is lower and more persistent …

insurance contracts a stochastic volatility model for equity prices would be more suitable. In this paper closed form … expressions are derived for prices of guaranteed annuity options assuming stochastic volatility for equity prices and either a 1 …-factor or 2-factor Gaussian interest rate model. The results indicate that the impact of ignoring stochastic volatility can …