Data cloning estimation for asymmetric stochastic volatility models
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- P. de Zea Bermudez & J. Miguel Marín & Helena Veiga, 2020. "Data cloning estimation for asymmetric stochastic volatility models," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 1057-1074, November.
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- Romero, Eva, 2024. "Fitting complex stochastic volatility models using Laplace approximation," DES - Working Papers. Statistics and Econometrics. WS 43947, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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- Romero, Eva, 2024. "A stochastic volatility model for volatility asymmetry and propagation," DES - Working Papers. Statistics and Econometrics. WS 43887, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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Keywords
Asymmetric Volatility;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-04-01 (Econometrics)
- NEP-ETS-2019-04-01 (Econometric Time Series)
- NEP-ORE-2019-04-01 (Operations Research)
- NEP-RMG-2019-04-01 (Risk Management)
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