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individual stocks. We provide an inference framework for all components of the model, including idiosyncratic volatility and …
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When borrowers default or fail to repay the lenders (banks), default–linked risks-so called credit risks do emerge. Such risks are critical to several agents like creditors, borrowing firms, and governments alike. As such, financial engineers have been putting in place some scientific...
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called for. The approach is appealing when we consider state space models which feature stochastic volatility, or other non … stochastic volatility feature is particularly relevant when considering high frequency financial series. In addition, we propose … models. We assess the efficiency of our indirect inference estimator for the stochastic volatility model by comparing it with …
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