A Class of Nonlinear Stochastic Volatility Models

• Main Authors: YU, Jun, YANG, Zhenlin
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2006
• 主題: Box-Cox Transformation; GARCH; EMM; Stochastic Volatility; Applied Statistics; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1104; https://ink.library.smu.edu.sg/context/soe_research/article/2103/viewcontent/87.pdf
• 機構: 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...