This paper builds and implements a multifactor stochastic volatility model for the latent (and unobservable) volatility of the baseload and peakload forward contracts at the European Energy Exchange ...

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness ...

A single parameter, termed the mixing fraction, is used to calibrate current localstochastic volatility (LSV) models to traded exotic prices as well as vanilla options. This single parameter has been ...

This paper generalizes the standard homoscedastic macro-finance model by allowing for stochastic volatility, using the "square root" specification of the mainstream finance literature. Empirically, ...