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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Bibliographic Details
Main Authors: YU, Jun, YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2006
Subjects:
EMM
Online Access:https://ink.library.smu.edu.sg/soe_research/1069
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Institution: Singapore Management University
Language: English