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 …

For underlying asset motions calibrating skewness and kurtosis beyond the volatility it becomes possible to consider …. Markovian discrete time approximations are simulated to incorporate stochasticity in all three entities, volatility, skewness … stochasticity in volatility and skewness. Implications for a log normal volatility of volatility are presented along with the …

different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally … aggregated models misspecify the evolution frequency of the volatility dynamics, resulting in poor volatility timing and worse … mixed-frequency nature of predictors and volatility in predictive regressions …