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There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
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We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The …
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We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The …
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