A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS (Q3022062): Difference between revisions
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Revision as of 10:23, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS |
scientific article |
Statements
A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS (English)
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22 June 2005
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mean reversion
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skewness
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fat tails
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