This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … to estimate Growth at Risk as introduced in Adrian et al. (2019) seminal paper "Vulnerable Growth". In contrary to their …, I modify the Tempered Particle Filter of Herbst and Schorheide (2019) to account for stochastic volatility and …

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with … model a time-varying generalization of the HAR model for the realized volatility series. It emerges that during the recent … stochastic volatility model suggest that the change in the dynamic structure of the realized volatility during the financial …

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …

Cholesky multivariate stochastic volatility model. It establishes that estimated covariance matrices, obtained under … alternative orderings of variables, are systemically different when the data exhibits independent volatility dynamics … individual volatility paths becomes. This paper shows that this property is important for empirical applications as alternative …

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 …

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. …