SV mixture models with application to S&P 500 index returns
نویسندگان
چکیده
منابع مشابه
SV mixture models with application to S&P 500 index returns
Understanding both the dynamics of volatility and the shape of the distribution of returns conditional on the volatility state is important for many financial applications. A simple single-factor stochastic volatility model appears to be sufficient to capture most of the dynamics. It is the shape of the conditional distribution that is the problem. This paper examines the idea of modeling this ...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2007
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2006.06.005