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Full-Text Articles in Physical Sciences and Mathematics
A Semiparametric Stochastic Volatility Model, Jun Yu
A Semiparametric Stochastic Volatility Model, Jun Yu
Research Collection School Of Economics
This paper examines how volatility responds to return news in the context of stochastic volatility (SV) using a nonparametric method. The correlation structure in the classical leverage SV model is generalized based on a linear spline. In the new model the correlation between the return innovation and volatility innovation is dependent on the type of news arrived to the market. Theoretical properties of the proposed model are examined. A simulation-based maximum likelihood method is developed to estimate the new model. Simulations show that the estimation method provides reliable parameter estimates. The new model is fitted to daily and weekly data …
Benford And Your Taxes, Manoj Thulasidas
Benford And Your Taxes, Manoj Thulasidas
Research Collection School Of Computing and Information Systems
Nothing is certain but death and taxes, they say. On the death front, we are making some inroads with all our medical marvels, at least in postponing it if not actually avoiding it. But when it comes to taxes, we have no defense other than a bit of creativity in our tax returns.