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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2002
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2122 https://ink.library.smu.edu.sg/context/soe_research/article/3122/viewcontent/SSRN_id307731__1_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |