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We develop a new stochastic volatility model that captures the three most important features of stock index returns: negative correlation between returns and fu

The basic univariate stochastic volatility model specifies that conditional volatility follows a log-normal auto-regressive model with innovations assumed to be

This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for esti

"This paper proposes the EGARCH [Exponential Generalized Autoregressive Conditional Heteroskedasticity] model with jumps and heavy-tailed errors, and studies th