CHIARELLA, CARL; MAINA, SAMUEL CHEGE; SKLIBOSIOS, … - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350019-1
-shaped, level dependent, and unspanned stochastic volatility, and accommodates a correlation structure between the stochastic … volatility, the default-free interest rates, and the credit spreads. The model is finite-dimensional, and leads (a) to …