Stochastic volatility models with persistent latent factors: theory and its applications to asset prices
We consider the stochastic volatility model with smooth transition and persistent la- tent factors. We argue that this model has advantages over the conventional stochastic model for the persistent volatility factor. Though the linear filtering is widely used in the state space model, the simulation...
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| Format: | Others |
| Language: | en_US |
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Texas A&M University
2008
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| Online Access: | http://hdl.handle.net/1969.1/86017 |