In this paper we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated … ASV model nests stochastic volatility models whose innovations are distributed as either Normal or Student-t distributions …

In this paper we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated … ASV model nests stochastic volatility models whose innovations are distributed as either Normal or Student-t distributions …

distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic volatility … that a process for the log of the observed VIX combining central tendency and stochastic volatility reliably prices VIX …

is modeled through fuzzy numbers. Specifically, the authors consider the Heston stochastic volatility model, which …

stochastic volatility specification. Factor hedging, which takes into account shocks to both the volatility processes and the …This paper analyzes the volatility structure of commodity derivatives markets. The model encompasses stochastic … volatility that may be unspanned by futures contracts. A generalized hump-shaped volatility specification is assumed that entails …

data. We extend the linear model to a dynamic model in terms of a stochastic volatility (SV) model. Using Japanese data we …

weekly data from 1990 to 2012. Time-varying betas are estimated by means of a Bayesian state-space model with stochastic … volatility, whose results are contrasted with those of the standard M-GARCH and rolling-regression models. We show that both …

stochastic volatility, whose results are contrasted with those of the standard M-GARCH and rolling-regression models. We show …