might be a link between CEOs' demographic characteristics and stock return volatility. We investigate the influence of CEOs … volatility for a sample of 892 IPOs floated in both the Shanghai and Shenzhen stock exchanges. Using fixed effects and system GMM … models we find that greater stock return volatility is associated with younger and shorter tenured CEOs. This may imply that …

-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term …. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration …

In this paper we examine the Heston model in the limit of infinitely fast mean-reversion for the stochastic volatility … process (CIR). We show that, under an appropriate scaling of the model parameters, the two-factor stochastic volatility Heston … properties of the implied volatility surface. The model is expected to provide a reasonable fit to the market for all maturities …

importance of foreign shocks in explaining inflation volatility has become more important in the last twenty years …

variable appears in the option pricing problem under the stochastic volatility assumption. Two real data sets are considered …. -- conditional distribution ; equity returns ; MCMC ; mean variance ; option pricing ; stochastic volatility ; S&P 500 ; total …

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

Purpose - This paper aims to explore the extreme effect of crude oil price fluctuations and its volatility on the …. Findings - The paper can summarize results as following: changes in oil price and its volatility have an opposite effect for … each oil-export and oil-import countries; for the former, changes in oil prices have a positive impact but the volatility a …