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- W3140229496 abstract "In this paper I present a new single factor stochastic volatility model for asset return observed in discrete time and its latent volatility. This model unites the feedback effect and return skewness using a common factor for return and its volatility. Further, it generalizes the existing stochastic volatility framework with constant feedback to one with time varying feedback and as a consequence time varying skewness. However, presence of dynamic feedback effect violates the weak-stationarity assumption usually considered for the latent volatility process. The concept of bounded stationarity has been proposed in this paper to address the issue of non-stationarity. A characterization of the error distributions for returns and volatility is provided on the basis of existence of conditional moments. Finally, an application of the model has been explained using S&P100 daily returns under the assumption of Normal error and half Normal common factor distribution." @default.
- W3140229496 created "2021-04-13" @default.
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- W3140229496 date "2014-01-01" @default.
- W3140229496 modified "2023-09-23" @default.
- W3140229496 title "Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness" @default.
- W3140229496 hasPublicationYear "2014" @default.
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