We consider Taylor’s stochastic volatility model (SVM) when the innovations of the hidden log-volatility process have a Laplace distribution (ℓ <Subscript>1</Subscript> exponential density), rather than the standard Gaussian distribution (ℓ <Subscript>2</Subscript>) usually employed. Recently many investigations have employed ℓ <Subscript>1</Subscript>...</subscript></subscript></subscript>

We consider the problem of estimating the volatility of a financial asset from a time series record of length T. We believe the underlying volatility process is smooth, possibly stationary, and with potential abrupt changes due to market news. By drawing parallels between time series and...

We consider Taylor's stochastic volatility model when the innovations of the hidden log-volatility process have a Laplace distribution (l1 exponential density), rather than the standard Gaussian distribution (l2) usually employed. Using a distribution with heavier tails allows better modeling of...