Popović B.   Stojanović V.  

The Distribution of Split-SV(1) Model

Докладчик: Popović B.

In this paper we continue our research on special type heteroscedastic time series that we defined in [1]. The model Split-SV(1) is wide sense stationary, but not strict stationary of any order. The one dimensional marginal distribution of the model is given.

[1] Stojanović V., Popović B.: The models of stochastic volatility in applications, Proceeding of the conference SYM-OP-IS 2010, pp. 761-764, in Serbian

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