-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …

This paper considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of … filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to … estimate the static parameters, and the extremum Monte Carlo method to extract latent volatility. Both methods can be easily …