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Volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasticity, GARCH models

GARCH diffusion, stochastic volatility, time aggregation, continuous limit

volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasicity, GARCH models

Forward curves, scarcity, commodity price volatility, theory of storage, convenience yield

approximate predictive distributions, conditional and unconditional moments, GARCH, kurtosis, skewness, simulation

credit spreads, price discovery, credit derivatives, information flow, convergence trading, financial crisis, limit of arbitrage

credit spreads, price discovery, volatility spillovers, credit and equity derivatives, information flow

GARCH, higher conditional moments, approximate predictive distributions, Value-at-Risk, Conditional VaR, Expected tail loss, Expected shortfall