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)

• Non‐trading day effects in asymmetric conditional and stochastic volatility models
• On asymmetric generalised t stochastic volatility models
• On generalised asymmetric stochastic volatility models
• Asymmetric volatility impulse response functions
• Title not available (Why is that?)
• Bad environments, good environments: a non-Gaussian asymmetric volatility model

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