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Abstract: This paper proposes a class of stochastic volatility (SV) models which o#ers an alternative to the one introduced in Andersen (1994). The class encompasses all standard SV models that have appeared in the literature, including the well known lognormal model, and allows us to empirically test all standard specifications in a convenient way. We develop a likelihood-based technique for analyzing the class. Daily dollar/pound exchange rate data reject all the standard models and suggest evidence of ... (Update)
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BibTeX entry: (Update)
@misc{ yu-class,
author = "Jun Yu and Zhenlin Yang and Xibin Zhang",
title = "A Class of Nonlinear Stochastic Volatility Models and Its Implications
on Pricing Currency Options",
url = "citeseer.ist.psu.edu/yu02class.html" }
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