Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … multivariate stochastic volatility model is proposed as a robust alternative. …

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

In this paper, we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated … with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically …. Its novelty is in modeling the joint, conditional, return-volatility distribution with an infinite mixture of bivariate …

In this paper, we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated … with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically …. Its novelty is in modeling the joint, conditional, return-volatility distribution with an infinite mixture of bivariate …

This paper investigates three formulations of the leverage effect in a stochastic volatility model with a skewed and … errors are correlated. The second is a hierarchical one, where log-volatility depends on the past log-return multiplied by a …

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model …

The asymmetric stochastic volatility (ASV) models extend the stochastic volatility model (SV) by modeling the … correlation between the asset return and its volatility. We prove by simulation studies that fitting the ASV models may infer … erroneous estimations of the correlation coefficients. Even if the true return-volatility correlation structure is different …