Non-linear Filtering with State Dependant Transition Probabilities: A Threshold (Size Effect) SV Model
نویسندگان
چکیده
Much research has focused upon the dynamics of the conditional volatility of financial asset returns. Broadly speaking there are two important features of the process underlying volatility. These may be described as either a sign effect, where the level of volatility is related to the sign of past returns or a size effect, where the dynamics of volatility are related to prevailing level of volatility.
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