Comparison of asymmetric stochastic volatility models under different correlation structures

DOI10.1080/02664763.2016.1204596OpenAlexW2464344558MaRDI QIDQ5138623

Zhongxian Men, Donald L. McLeish, Tony S. Wirjanto, Adam W. Kolkiewicz

Publication date: 4 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2016.1204596

zbMATH Keywords

stochastic volatilityBayesian inferenceleverage effectlog transformation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry

Uses Software

• BUGS

Cites Work

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