Stochastic Volatility Effects on Correlated Log-Normal Random Variables
The transition density function plays an important role in understanding and explaining the dynamics of the stochastic process. In this paper, we incorporate an ergodic process displaying fast moving fluctuation into constant volatility models to express volatility clustering over time. We obtain an...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2017-01-01
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| Series: | Advances in Mathematical Physics |
| Online Access: | http://dx.doi.org/10.1155/2017/7150203 |