Roméo Tedongap - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:22:08+00:00A 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+00:00enA Stochastic Volatility Model with Conditional Skewness2011-10-07Asset pricingEconometric and statistical methodsWorking Paper 2011-20https://www.bankofcanada.ca/wp-content/uploads/2011/10/wp2011-20.pdfA Stochastic Volatility Model with Conditional SkewnessBruno FeunouRoméo TedongapOctober 2011CC1C5GG1G12