subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …

volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …