A Stochastic Volatility Model With Conditional Skewness

DOI10.1080/07350015.2012.715958MaRDI QIDQ6666897zbMATH OpenFDO

Authors Bruno Feunou, Roméo Tédongap

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2012.715958

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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