Modeling Tail Dependence Using Stochastic Volatility Model
Author:
Funder
national research foundation of korea
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-022-10271-5.pdf
Reference22 articles.
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3. Chernov, M., Gallant, A. R., Ghysels, E., & Tauchen, G. (2003). Alternative models for stock price dynamics. Journal of Econometrics, 116(1–2), 225–257.
4. Choe, H. J. Ahn, C. Kim, B. J., & Ma, Y.-K. (2013). Copulas from the fokker–planck equation. Journal of Mathematical Analysis and Applications, 406(2), 519–530.
5. Christoffersen, P., Jacobs, K., & Mimouni, K.. (2010). Volatility dynamics for the s &p500: Evidence from realized volatility, daily returns, and option prices. The Review of Financial Studies, 23(8), 3141–3189.
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