stochastic volatility model. Since the number of parameters in the joint correlation matrix of the return and volatility errors …

general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …

This work deals with multivariate stochastic volatility models, which account for a time-varying variance … the volatility level. We apply a full Bayesian inference approach, which relies upon Sequential Monte Carlo (SMC) for …

The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully … study the effect different parameterizations of the latent volatility process and the parameters of the volatility process …

estimate complex latent state variable models with unknown parameters. The framework is applied to a stochastic volatility … model with independent jumps in returns and volatility. The implementation is based on a novel design of adapted proposal … algorithm to estimate stochastic volatility with jumps in returns and volatility model based on the Prague stock exchange …

dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

We examine a group of extended realized stochastic volatility (RSV) models with ex-ante volatility information added to … the framework. The most advantageous specification is the one with implied volatility (IV) as an explanatory variable in … the latent volatility process, which produces an estimated latent volatility almost identical to the realized volatility …

Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump …

evidence for stochastic intensity and stochastic volatility models based on Ornstein-Uhlenbeck processes. For our empirical …