prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …: leverage effect, and conditional leptokurtosis. Our analysis covers both a continuous and discrete time framework. The results …

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … the stationarity and existence of moments of the considered smooth transition GARCH models and even some more general …

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …