allowing the conditional variance of a particular market to depend on past volatility shocks in other markets. The inter …. Extending the model to incorporate leverage effects leads to further improvement in the volatility fit. We compare weight …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … related to relatively infrequent changes in regime. Using the theory of Markov chains we provide sufficient conditions for the …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for …

This paper generalizes the popular stochastic volatility in mean model of Koopman and Hol Uspensky (2002) to allow for … time-varying parameters in the conditional mean. The estimation of this extension is nontrival since the volatility appears … inflation. The estimation results show substantial time-variation in the coefficient associated with the volatility, high …

volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …