A Class of Nonlinear Stochastic Volatility Models
This paper proposes a class of nonlinear stochastic volatility models based on the Box-Cox transformation which offers an alternative to the one introduced in Andersen (1994). The proposed class encompasses many parametric stochastic volatility models that have appeared in the literature, including...
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2006
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/969 |
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| Institution: | Singapore Management University |
| Language: | English |