This article reconsiders the relationship between stock return volatility and trading volume. Based on the multi-factor stochastic volatility model for stock return, we suggest several specifications for the trading volume. This approach enables the unobservable information arrival to follow the...

Evaluating portfolio risk typically requires that correlation estimates of security returns be made. Historical financial events have shown that correlations can rise quickly, causing a huge increase in portfolio risk. Therefore, in stress testing portfolios, it is important to consider the...

The paper develops the structure of parsimonious portfolio single index (PSI) multivariate conditional and stochastic constant correlation volatility models, and methods for estimating the underlying parameters. These multivariate estimates of volatility can be used for more accurate portfolio...

The article suggests a simple but effective approach for estimating value-at-risk thresholds using range data, working with the filtered historical simulation. For this purpose, we consider asymmetric heterogeneous Autoregressive Moving Average (ARMA) model for log-range, which captures the...

This paper proposes two types of stochastic correlation structures for Multivariate Stochastic Volatility (MSV) models, namely the constant correlation (CC) MSV and dynamic correlation (DC) MSV models, from which the stochastic covariance structures can easily be obtained. Both structures can be...

We extend the range-based approach of Alizadeh et al. (2002) in order to deal with leverage and size effects and nonnormal conditional distribution in Stochastic Volatility (SV) models. We employ the Efficient Importance Sampling (EIS) method to estimate the range-based asymmetric SV models....

This paper examines two asymmetric stochastic volatility models used to describe the heavy tails and volatility dependencies found in most financial returns. The first is the autoregressive stochastic volatility model with Student's t-distribution (ARSV-t), and the second is the multifactor...