Mukhoti, Sujay - Volkswirtschaftliche Fakultät, … - 2014
its latent volatility. This model unites the feedback effect and return skewness using a common factor for return and its … volatility. Further, it generalizes the existing stochastic volatility framework with constant feedback to one with time varying … feedback and as a consequence time varying skewness. However, presence of dynamic feedback effect violates the weak …