surprisingly little to the ability of the models to explain the dynamic of the VIX. We present a stochastic volatility of …

activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …) stochastic volatility. …

We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with … a latent factor. These stochastic volatility specifications fit naturally in the continuous-time finance paradigm, and …

variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

component. The jumps in stock volatility are found to be so active that this discredits many recently proposed stochastic … volatility models, including the classic affine model with compound Poisson jumps that is widely used in financial modeling and …

This paper analyzes the relationship between stocks and bonds in nine Asian countries. Using a bivariate stochastic … volatility model, we show that there are significant volatility spillover effects between stock and bond markets in several of …

utilising a dynamic factor model with stochastic volatility to account for shifts in the variance of inflation and endogenously …

This paper presents a class of defaultable term structure models within the HJM framework with stochastic volatility … tractable solutions for interest rate derivatives. We also investigate the effect of stochastic volatility and of correlation … between the stochastic volatility and credit spreads on the defaultable short rate and defaultable bond prices. …