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Endogenous Threshold Stochastic Volatility Model: An Outlook Across the Globe for Stock Market Indices
(Pontificia Universidad Católica del Perú, 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 ...