capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …

The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully … study the effect different parameterizations of the latent volatility process and the parameters of the volatility process …

estimate complex latent state variable models with unknown parameters. The framework is applied to a stochastic volatility … model with independent jumps in returns and volatility. The implementation is based on a novel design of adapted proposal … algorithm to estimate stochastic volatility with jumps in returns and volatility model based on the Prague stock exchange …

introduce a superior volatility estimator for high-frequency analysis. Leveraged ETFs, which attempt to reproduce two or three …-based subsampling and averaging high-frequency volatility estimator. Tracking error jumps are found to occur in one-fourth of trading …

We present a non-parametric Monte-Carlo method for computing the price of an option in an uncertain volatility model …