A Stochastic Volatility Model With Conditional Skewness

Journal article

Peer reviewed

Roméo Tédongap and Bruno Feunou

Journal of Business and Economic Statistics, Vol.30(4), pp.576-591

2012

Abstract

Affine model

Conditional skewness

Discrete time

GMM

Option pricing

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Title: A Stochastic Volatility Model With Conditional Skewness
Creators - without role: Roméo Tédongap - Stockholm School of Economics, Department of Finance
Bruno Feunou - Bank of Canada (CA)
Publication Details: Journal of Business and Economic Statistics, Vol.30(4), pp.576-591
Publisher: Taylor & Francis: STM, Behavioural Science and Public Health Titles
Number of pages: 16
Identifiers: 991001480763306056
Academic Unit: Department of Finance
Language: English
Resource Type: Journal article