Browsing by Author "Abanto Valle, Carlos Antonio"
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Endogenous Threshold Stochastic Volatility Model: An Outlook Across the Globe for Stock Market Indices
Robles Chaparro, Ronaldo Juan (Pontificia Universidad Católica del PerúPE, 2023-09-04)Asymmetries and heavy tails are well-known characteristics on compound daily returns stock market in dices. The THSV-SMN–Threshold Stochastic Volatility Modelwith Scale Mixture of Normal Distributions– model has become ...