The influence of past stock price movements on volatilities and correlations is essential for understanding diversification and contagion in financial markets. We develop a model that makes the influence of past returns on volatilities and correlations explicit. Employing information about...

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

We propose a general, accurate and fast econometric approach for the estimation of affine option pricing models. The algorithm belongs to the class of Laplace-Type Estimation (LTE) techniques and exploits Sequential Monte Carlo (SMC) methods. We employ functions of the risk-neutral cumulants...

We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where...

We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where...

Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...

In the present paper we consider the Quasi Maximum Likelihood (QML) procedure for the estimation of stationary Stochastic Volatility models. We prove the consistency of the QML estimators and compute explicitly their asymptotic variances. This allows us to obtain also consistent estimators of...

The financial econometrics literature includes several multivariate GARCH models where the model parameter matrices depend on a clustering of financial assets. Those classes might be defined a priori or data-driven. When the latter approach is followed, one method for deriving asset groups is...

We extend the double-well potential process to a three-parameter version in order to model intraday price dynamics, with a focus on the intraday momentum and reversal. The proposed process has a parsimonious form of three parameters controlling momentum, reversal, and volatility respectively. By...