Asymmetry in stochastic volatility models with threshold and time-dependent correlation

DOI10.1515/SNDE-2021-0020OpenAlexW4223469542MaRDI QIDQ6138232FDOQ6138232

Authors Torben Schäfers, Long Teng

Publication date 5 September 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2021-0020

zbMATH Keywords

thresholdstochastic volatility modelasymmetry volatilitytime-dependent correlation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(6)

• scientific article; zbMATH DE number 5209814 (Why is no real title available?)
• On generalised asymmetric stochastic volatility models
• On asymmetric generalised t stochastic volatility models
• Asymmetric volatility impulse response functions
• Non‐trading day effects in asymmetric conditional and stochastic volatility models
• Bad environments, good environments: a non-Gaussian asymmetric volatility model

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