of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high … importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several …

We analyze the relationship between implied volatility and subsequent equity markets excess returns. We find that high … readings of implied volatility have a strong correlation with positive and economically sizable returns in the subsequent 1, 5 … volatility instead of the implied volatility of at-the-money straddles …

floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign … exchange return and its volatility. Particularly, an increase in the return at time t results in an increase in volatility at … decrease in volatility at time t + 1. The results imply that a central bank with a volatility smoothing policy would be biased …

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly …, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows … autoregressive conditional heteroskedasticity (GARCH), and stochastic volatility with jumps (SVJ) models. Our results are not due to …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …