In the univariate SV model assuming the normal mixture form of p( t) what is the stationary
Question:
In the univariate SV model assuming the normal mixture form of p( t)
what is the stationary marginal distribution p(yt v) for any t implied by this model? Investment analysis focuses, in part, on questions of just how large or small a per-period return might be, and this marginal distribution of a future return is relevant in that context.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Time Series Modeling Computation And Inference
ISBN: 9781498747028
2nd Edition
Authors: Raquel Prado, Marco A. R. Ferreira, Mike West
Question Posted: