We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we...

The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and...

Introduction (Gilles Dufrénot and Takashi Matsuki, eds) -- Part I. Macroeconometrics and international finance -- Chapter 1. Quantile and copula spectrum: a new approach to investigate cyclical dependence in economic time series (Gilles Dufrénot, Takashi Matsuki and Kimiko Sugimoto) -- Chapter...

"Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain...