financial volatility as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …

may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …

In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar …

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a … the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of … parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the …