. Finally, we apply these findings to the empirical estimation of regime-dependent fiscal multipliers and find multipliers less …

We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models … unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied … volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time … as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We …

with the size of this correlation, and also with the persistence of shocks to volatility. An application to the US stock …. This application also shows that only low frequency shocks to volatility exhibit enough persistence to generate sizable …This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using …

-sample parameter estimates and pronounced intertemporal volatility persistence. Meanwhile, when judged by standard forecast evaluation …Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …

This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A … shape of the News Impact Curve. New diagnostic tests are presented which emphasize the asymmetry of the volatility response …