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This paper extends the existing fully parametric Bayesian literature on stochastic volatility to allow for more general return distributions. Instead of specify
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In this paper, we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the b
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Pages: 566
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Type: BOOK - Published: 2012-03-22 - Publisher: John Wiley & Sons
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communication