2 papers
q-fin.ST2024
What events matter for exchange rate volatility ?
Igor Martins, Hedibert Freitas Lopes
This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and q…
econ.EM2023
Stochastic volatility models with skewness selection
Igor Ferreira Batista Martins, Hedibert Freitas Lopes
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of f…