such as covered call writing and zero-beta straddles. The analogy based stochastic volatility and the analogy based jump … diffusion models are also put forward. The analogy based stochastic volatility model generates the skew even when there is no …

In this paper I present a new single factor stochastic volatility model for asset return observed in discrete time and … volatility. Further, it generalizes the existing stochastic volatility framework with constant feedback to one with time varying …

In this paper, we show how to estimate the parameters of stochastic volatility models using Bayesian estimation and … the Stochastic Volatility (SV) model, basic and with leverage. …

This paper puts forward a Bayesian Global Vector Autoregressive Model with Common Stochastic Volatility (B … spanning from 1995:Q1 to 2012:Q4 and includes 45 economies plus the Euro Area. Our results indicate that stochastic volatility …

We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps … employed in the estimation of a flexible stochastic volatility model for the dynamics of the S&P 500 equity index. We find …

This paper develops a particle …ltering algorithm to estimate dynamic equilibrium models with stochastic volatility … and Bayesian methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter … drifting in monetary policy. Our application shows the importance of stochastic volatility in accounting for the dynamics of …

more general frameworks where stochastic volatility and jumps are combined to capture market's important features. In …