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A Stochastic Volatility Model With Conditional Skewness

✍ Scribed by Feunou, Bruno; Tédongap, Roméo


Book ID
118037556
Publisher
American Statistical Association
Year
2012
Tongue
English
Weight
409 KB
Volume
30
Category
Article
ISSN
0735-0015

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## Abstract This article introduces a new model to capture simultaneously the mean and variance asymmetries in time series. Threshold non‐linearity is incorporated into the mean and variance specifications of a stochastic volatility model. Bayesian methods are adopted for parameter estimation. Fore