C5 - Econometric Modeling - Bank of Canada
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A Stochastic Volatility Model with Conditional Skewness
https://www.bankofcanada.ca/2011/10/working-paper-2011-20/
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way.
2011-10-07T10:34:48+00:00
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A Stochastic Volatility Model with Conditional Skewness
2011-10-07
Asset pricing
Econometric and statistical methods
Working Paper 2011-20
https://www.bankofcanada.ca/wp-content/uploads/2011/10/wp2011-20.pdf
A Stochastic Volatility Model with Conditional Skewness
Bruno Feunou
Roméo Tedongap
October 2011
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