A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680)
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scientific article; zbMATH DE number 7072673
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA |
scientific article; zbMATH DE number 7072673 |
Statements
A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (English)
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24 June 2019
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leverage effect
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realized volatility
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mean-reversion
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regime-switch
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parametric estimation
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threshold diffusion
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stock price model
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