Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023
This paper considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of … accounting for the leverage effect. We adopt simulation-based methods to address key challenges in parameter estimation, the … filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …