Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models

DOI10.1515/1558-3708.1880zbMath1506.62415OpenAlexW2032843310MaRDI QIDQ5881647

Esther Ruiz Ortega, Ana Pérez

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/1558-3708.1880

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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