shifts and stochastic volatility. The filter adapts to regime shifts extremely rapidly and delivers a clear heuristic for … distinguishing between regime shifts and stochastic volatility, even though the model dynamics assumed by the filter exhibit neither …

This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets … important for market participants, implying predictability. The paper estimates multifactor stochastic volatility models for …

to assess, based on that, a real option using a quadrinomial tree, including into this valuation the stochastic … volatility of the underlying asset. The main contribution is the formal derivation of a risk-neutral valuation as well as the …

This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic … volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

a time-varying parameter VAR model with stochastic volatility and mixture innovations, this study investigates whether …