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 …

equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility …

volatility. Hence, they are viable alternatives to the geometric Brownian motion. …

the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and … volatility dynamics for a wide class of stochastic volatility (SV) models. The SD approach also derives under similar conditions … volatility risk prices yield in option values in comparison to prices extracted from observed option market data. We also present …