A multivariate threshold stochastic volatility model (Q960327)
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scientific article; zbMATH DE number 5383091
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| default for all languages | No label defined |
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| English | A multivariate threshold stochastic volatility model |
scientific article; zbMATH DE number 5383091 |
Statements
A multivariate threshold stochastic volatility model (English)
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17 December 2008
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dynamic correlation
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finance
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stochastic volatility
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threshold nonlinearity
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volatility asymmetry
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0.8447611927986145
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0.8317305445671082
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0.8238261938095093
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0.8226675391197205
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0.8169916868209839
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