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