This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to … estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model … suggests that the volatility risk premium has a negligible impact on the pricing performance of Heston´s model. …

model is then used to determine skewness and kurtosis of distributions of futures prices implied from option prices. Design … skewness is the major source of nonnormality, but both skewness and kurtosis are important as the trinomial model that … benefit from using option prices from more than one day. The implied skewness and kurtosis were quite variable and using more …

model is then used to determine skewness and kurtosis of distributions of futures prices implied from option prices. Design … skewness is the major source of nonnormality, but both skewness and kurtosis are important as the trinomial model that … benefit from using option prices from more than one day. The implied skewness and kurtosis were quite variable and using more …

provoked to pursue the development of more realistic option pricing models encompassing the level of skewness and kurtosis … smile, skewness and kurtosis. …-Scholes assumption of log-normality of the underlying asset return density with constant volatility. The second relative objective is to …

more accurate assessment of upper and minimum risk levels that can be utilized in pricing natural gas derivatives such as …

conditional skewness and kurtosis information, when forming direction-of-change forecasts. …Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

domestic volatility after good shocks but a bad hedge after crashes. …