VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine …

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …

Markov-switching Heston's stochastic volatility model. Under this framework, the expected return and the long-term mean of … evidence that the Markov-switching Heston's stochastic volatility model performs well in capturing major events affecting price …. The saddlepoint method gives an effective approximation to option prices under the Markov-switching Heston's stochastic …

, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model …