In this paper, we present a comprehensive survey of continuous stochastic volatility models,
discussing their historical development and the key stylized facts that have driven the field …

This study investigates the scale-dependent structure of asymmetric volatility effect in six
representative cryptocurrencies: Bitcoin, Ethereum, Ripple, Litecoin, Monero, and Dash. By …

In this article we study the leverage effect in cryptocurrency markets using a stochastic
volatility model with simultaneous and correlated jumps in returns and volatility. We estimate …

This paper, using the Australian stock market data, examines the investor-herding and risk-
profiles link that has implications for asset pricing, portfolio diversification and foreign …

We examine the interaction between equity returns and firms' financing policies in a
stochastic Ramsey model with heterogeneous firms. Motivated by empirical evidence, firms …

This paper examines the impact of changes in the pandemic restrictions on the market
perception of sovereign risk in selected Latin American and Asian economies. We measure …

The leverage effect hypothesis of Black (1976) and Christie (1982) posits that time-series
variation in debt causes an inverse relation between stock return volatility and stock returns …

This article considers a stochastic volatility model featuring an asymmetric stable error
distribution and a novel way of accounting for the leverage effect. We adopt simulation …

In this paper, we explore whether the adaptive markets hypothesis (AMH) describes the
efficiency of the Finnish stock market better than the efficient markets hypothesis (EMH) …

This paper studies the dynamics of cryptocurrency volatility using a stochastic volatility
model with simultaneous and correlated jumps in returns and volatility. We estimate the …