Asymmetry in Stochastic Volatility Models: Threshold or Correlation?
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Publication:3574746
DOI10.2202/1558-3708.1540zbMath1193.91182OpenAlexW3125013017MaRDI QIDQ3574746
Publication date: 2 July 2010
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1540
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)
Related Items (4)
Shifts in volatility driven by large stock market shocks ⋮ Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution ⋮ Asymmetry in stochastic volatility models with threshold and time-dependent correlation ⋮ A triple-threshold leverage stochastic volatility model
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