Time-Varying Volatility Interactions
The paper introduces a new volatility model that accounts for changes in codependence, simplifying the estimation process and offering a new test for constancy codependence volatility, with Monte Carlo experiments supporting its empirical properties.
Featured in No. 16 on 21 Sep 2023 · 5 days after release
- Released
- 16 Sep 2023
- First featured
- No. 16 · 21 Sep 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4573593
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