Time-varying leverage effects

DOI10.1016/j.jeconom.2012.01.010zbMath1443.62330OpenAlexW2035641289MaRDI 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

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

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