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~isPartOf:"Discussion paper"
~isPartOf:"Global COE Hi-Stat Discussion Paper Series"
~person:"Karlsson, Sune"
~person:"Mertens, Elmar"
~person:"Todorov, Viktor"
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Addressing COVID-19 outliers in BVARs with
stochastic
volatility
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
-
2022
VARs. To address these issues, we propose VAR models with outlier-augmented
stochastic
volatility
(SV) that combine …
Persistent link: https://www.econbiz.de/10013184356
Saved in:
2
Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.
;
Fusari, Nicola
;
Todorov, Viktor
-
Institute of Economic Research, Hitotsubashi University
-
2012
&P 500 index options we extend the popular double-jump
stochastic
volatility
model to allow for time-varying risk premia of …
Persistent link: https://www.econbiz.de/10010614050
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