-memory stochastic volatility models, testing for independence between functional time series, statistical inference for panel dynamic …

- run relationship between banks’ lending rates and banks’ marginal cost, as w ell as stochastic volatility . Our empirical …

analysis for long-memory stochastic volatility models, testing for independence between functional time series, statistical …

to compare these measures with the ones from the stochastic volatility model. With this model, the data used are obtained … the set of the most flexible models to capture the volatility evolution of returns, the stochastic volatility model …

discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …

-memory stochastic volatility models, testing for independence between functional time series, statistical inference for panel dynamic …

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps … and market microstructure noise. The resulting estimators of the stochastic volatility model will carry additional biases …

discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …