Dynamic Asymmetric Leverage in Stochastic Volatility Models (Q5697355)
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scientific article; zbMATH DE number 2214711
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Dynamic Asymmetric Leverage in Stochastic Volatility Models |
scientific article; zbMATH DE number 2214711 |
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Dynamic Asymmetric Leverage in Stochastic Volatility Models (English)
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17 October 2005
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asymmetric effects
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Monte Carlo likelihood
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stochastic volatility
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threshold effects
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0.8334569931030273
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0.8262161612510681
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0.8178537487983704
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0.80461186170578
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0.8008355498313904
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