It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
Year of publication: |
2015
|
---|---|
Authors: | Grassi, Stefano ; Santucci de Magistris, Paolo |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 30.2015, C, p. 62-78
|
Publisher: |
Elsevier |
Subject: | Time-varying parameters | On-line Kalman filter | Simulation-based inference | Predictive likelihood | Volatility factors |
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