Stochastic models have become indispensable tools for understanding growth dynamics in complex systems. By incorporating randomness and uncertainty into the modelling framework, these methods provide ...

Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

We consider a p-dimensional time series where the dimension p increases with the sample size n. The resulting data matrix X follows a stochastic volatility model: each entry consists of a positive ...

Citations: Todorov, Viktor. 2009. Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data. Journal of Econometrics. 131-148.