A Stochastic Volatility Model with Conditional Skewness
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- Bruno Feunou & RomÃ©o TÃ©dongap, 2012. "A Stochastic Volatility Model With Conditional Skewness," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 576-591, July.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Maria Grith & Wolfgang K. Härdle & Alois Kneip & Heiko Wagner, 2016. "Functional Principal Component Analysis for Derivatives of Multivariate Curves," SFB 649 Discussion Papers SFB649DP2016-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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- Bruno Feunou & Cédric Okou, 2017. "Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models," Staff Working Papers 17-55, Bank of Canada.
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More about this item
KeywordsAsset Pricing; Econometric and statistical methods;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-07 (All new papers)
- NEP-ECM-2011-11-07 (Econometrics)
- NEP-ETS-2011-11-07 (Econometric Time Series)
- NEP-ORE-2011-11-07 (Operations Research)
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