This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility …

In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV …

model its forecasts. The model is an AR(n) but allows for gradually evolving or drifting parameters and stochastic … volatility. The long-horizon forecasts suggest only one inflation wave, that of the 20th century. We also use the model to …

volatility and a convenient principal component stochastic volatility (PCSV) decomposition for the stochastic covariance. We find …In this paper, we propose a new multivariate mean-reverting model incorporating state-of-the art 4/2 stochastic …