A semiparametric stochastic volatility model with dependent nonparametric error terms is proposed, but its claimed estimation advantages are not convincingly established because the comparison and algorithm are flawed.
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A Semiparametric Stochastic Volatility Model with Dependent Errors
A semiparametric stochastic volatility model with dependent nonparametric error terms is proposed, but its claimed estimation advantages are not convincingly established because the comparison and algorithm are flawed.