Time-varying leverage effects

DOI10.1016/j.jeconom.2012.01.010zbMath1443.62330MaRDI QIDQ527980

Roberto Renò, Federico M. Bandi

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000115

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

62M05: Markov processes: estimation; hidden Markov models

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