A Class of Nonlinear Stochastic Volatility Models

• المؤلفون الرئيسيون: YU, Jun, YANG, Zhenlin
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2006
• الموضوعات: Box-Cox Transformation; GARCH; EMM; Stochastic Volatility; Applied Statistics; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1069

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...