A stochastic volatility model for volatility asymmetry and propagation
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Keywords
Data cloning;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-05-27 (Econometrics)
- NEP-ETS-2024-05-27 (Econometric Time Series)
- NEP-RMG-2024-05-27 (Risk Management)
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