Arbitrage-Free class of dynamic Nelson-Siegel term structure models with stochastic volatility to obtain the domestic and …

, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact … measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized …

We use a class of stochastic volatility models with multiple latent factors to investigate the joint dynamics of return … information spillovers across currency futures …

) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent … (Euro, Yen, Pound), using high-frequency data since the beginning of the European Monetary Union. Estimated volatility paths … structure. Correlation paths display frequent shifts along the whole sample, both in low and in high volatility phases, pointing …

interest rates, foreign short interest rates and stochastic volatility. Then, we apply Least Squares Monte Carlo (LSM) method … for pricing American options under our model with stochastic volatility and stochastic interest rate. Finally, by …