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
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| 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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0.7330179214477539
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0.7194809317588806
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0.7181882858276367
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0.7174780964851379
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0.7046511769294739
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