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wing of the implied volatility smile is less constrained than Lee's bound. The result is rationalised by a market trading … expressing variance swaps in terms of the implied volatility …
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This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions …, I modify the Tempered Particle Filter of Herbst and Schorheide (2019) to account for stochastic volatility and …
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Indirect Inference (I‐I) estimation of structural parameters θ requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters β. The estimators of the instrumental parameters will encapsulate the...
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