In this paper, we consider temporal aggregation of volatility models. We introduce a semiparametric class of volatility models termed square-root stochastic autoregressive volatility (SR-SARV) and characterized by an autoregressive dynamic of the stochastic variance. Our class encompasses the...

Managing ‘responsible’ buying is now a popular subject in multinational company management. This type of managing is part of a continuum between cosmetic and a real modification in organization. The academic literature has studied how the companies incorporate CSR criteria into their...

This paper, prepared for the Handbook of Statistics, vol.14, Statistical Methods in Finance, surveys the subject of Stochastic Volatility. The following subjects are covered : volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...