We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility … and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time … differing orders of approximation, enabling us to identify the common channel through which stochastic volatility in isolation …

We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian … estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price … distributions. We allow for stochastic volatility by modeling the variance as a stochastic function of time, with intra-day periodic …

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …