A Class of Nonlinear Stochastic Volatility Models

• Main Authors: YU, Jun, YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2006
• Subjects: Box-Cox Transformation; GARCH; EMM; Stochastic Volatility; Applied Statistics; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1069
• Institution: Singapore Management University

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...