The paper proposes the thorough investigation of the in-sample and out-of-sample performance of four GARCH and two stochastic volatility models, which were estimated based on Russian financial data. The data includes Aeroflot and Gazprom’s stock prices, and the rouble against the US dollar...

We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The specifi cations require few fixed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory...