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23-077/III - Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting

  • Authors
    Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Karim Moussa, Vrije Universiteit Amsterdam
  • Publication date
    December 2, 2023
  • Keywords
    Filtering, Forecasting, Indirect Inference, Extremum Monte Carlo, Leverage, Bitcoin
  • JEL
    C22, C46, C58
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