Browsing Faculté des arts et des sciences – Département de sciences économiques by Subject "fat tails"
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An Eigenfunction Approach for Volatility Modeling
(Université de Montréal. Département de sciences économiques., 2001)In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the ...