Moments Structure of -Stochastic Volatility Models
نویسندگان
چکیده
We consider Taylor’s stochastic volatility model when the innovations of the hidden log-volatility process have a Laplace distribution (`1 exponential density), rather than the standard Gaussian distribution (`2) usually employed. Using a distribution with heavier tails allows better modeling of the abrupt changes of regime observed in financial time series. We derive here the moments and autocovariance function of such `1-based stochastic volatility models.
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