This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

We propose a new variational approximation of the joint posterior distribution of the log-volatility in the context of … proposed methodology with an application of a 96-variable VAR with stochastic volatility to measure global bank network …

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …

for the implied volatility surface of S&P500 index options data. …

-varying parameter vector autoregression with stochastic volatility developed by Cogley and Sargent (2005) and Primiceri (2005), CSP …

volatility description and forecasting performances. A set of three major asynchronous international stock market indices is used …

gap inflation persistence to a UC model that already has stochastic volatility (SV) afflicting trend and gap inflation …

In this paper, we provide evidence that fat tails and stochastic volatility can be important in improving in-sample fit … rates and stock returns. In terms of in-sample fit, the VAR model featuring both stochastic volatility and t … accounting for both stochastic volatility and Student's t-distributed disturbances may lead to improved forecast accuracy …

section compares stochastic volatility models with GARCH. …