We propose a mixed frequency stochastic volatility (MFSV) model for the dynamics of intraday asset return volatility …. In order to account for long-memory we separate stochastic daily and intraday volatility patterns by introducing a long …-run component that changes at daily frequency and a short-run component that captures the remaining intraday volatility dynamics. An …

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate …

numerical integration. The volatility of asset classes in this model, defined by the variance swap (VIX) equation, is analyzed …. A sensitivity study of the volatility with respect to jump parameters is performed. Results are compared to other well …

We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … started at least 4 years earlier. We confirm the validity and universality of the volatility-confined LPPL model on seven …