Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness
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More about this item
KeywordsStochastic volatility; Bounded stationarity; Leverage; Feedback; Skewness; Single factor model;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2015-03-13 (Econometrics)
- NEP-ETS-2015-03-13 (Econometric Time Series)
- NEP-ORE-2015-03-13 (Operations Research)
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