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 … returns and logarithmic realized volatility but also enables flexible adjustments for estimation bias in realized volatility …

In this paper, we propose a new method for estimating and forecasting asymmetric stochastic volatility models. The …

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

predictors, where robust stands for the use of mixtures of proper conjugate priors. Concerning dynamic analysis, volatility …

components, and innovations to trend and gap inflation are affected by stochastic volatility. A novelty of our model is to allow …

This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets … (Brent oil and WTI oil) for the period 2011-2021. The main objective is to make step ahead volatility predictions for the … important for market participants, implying predictability. The paper estimates multifactor stochastic volatility models for …

This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in … the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms … dependence in return volatility, which is often absent in applications of stochastic volatility models which incorporate leverage …

volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a … methodology to estimate volatility dependency patterns for both the SP&500 index and major cryptocurrencies. We thoroughly assess …-factor extensions and apply this method to estimate volatility measurements from high-frequency data, underscoring its exceptional …

The present study aimed to investigate the presence of asymmetric stochastic volatility and leverage effects within the …. Using the results of the asymmetric stochastic volatility model, we evaluated both the Nasdaq-100 index as a whole and the … volatility persistence, predictability, and correlation levels of individual stocks. This allowed us to evaluate the ability of …