This paper presents a new stochastic volatility model which allows for persistent shifts in volatility of stock market … investigate economic (or market) sources of volatility shifts, without relying on exogenous information from the sample. In … effects of large return shocks on future levels of market volatility. The above properties of the model are shown based on a …

shock driving future dividend variations. Equilibrium stock prices include a transitory "noise bubble" which can be … impulse response functions to noise shock and the bubble component of stock prices. Noise explains a large fraction of US …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

impact on electricity price and volatility. In this paper, we employ a mixed-frequency vector autoregression (MF …

This paper contributes to an ongoing debate on volatility dynamics. We introduce a discrete-time fractional stochastic … volatility (FSV) model based on the fractional Gaussian noise. The new model has the same limit as the fractional integrated … stochastic volatility (FISV) model under the in-fill asymptotic scheme. We study the theoretical properties of both models and …