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A Nonparametric approach to the noise density in stochastic volatility models

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Academic year: 2020

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Figure

Fig. 1. Theoretical predictions for the moment ratio M η (q) under the assumption of a Gaussian (solid line), a uniform (dashed line), and a double-exponential (dashed dotted line) distribution of the noise factor η
Fig. 2. Moment ratio under the assumption of Gaussian noise, M η (q), compared to the actual moment ratio computed from various asset returns, ˆ M (q)

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