Testing for serial correlation in the presence of stochastic volatility

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Publication:1000525

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DOI10.1023/A:1010093608857zbMath1153.91754OpenAlexW1487672867MaRDI QIDQ1000525

Manabu Asai

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010093608857

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Applications of stochastic analysis (to PDEs, etc.) (60H30) Statistical methods; economic indices and measures (91B82)

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Dynamic Asymmetric Leverage in Stochastic Volatility Models

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