The following pages link to Time-varying leverage effects (Q527980):
Displaying 25 items.
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
- A semiparametric stochastic volatility model (Q738174) (← links)
- The jump size distribution of the commodity spot price and its effect on futures and option prices (Q1667549) (← links)
- Testing for jumps and jump intensity path dependence (Q1753059) (← links)
- Forecasting volatility with time-varying coefficient regressions (Q2187983) (← links)
- Horizon-unbiased investment with ambiguity (Q2191465) (← links)
- Change point detection for nonparametric regression under strongly mixing process (Q2208376) (← links)
- Estimation of the stochastic leverage effect using the Fourier transform method (Q2274297) (← links)
- Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
- A non-linear dynamic model of the variance risk premium (Q2347731) (← links)
- On idiosyncratic stochasticity of financial leverage effects (Q2453988) (← links)
- A nonparametric test of a strong leverage hypothesis (Q2630356) (← links)
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602) (← links)
- Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models (Q4627135) (← links)
- Detecting volatility persistence in GARCH models in the presence of the leverage effect (Q5247941) (← links)
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
- The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets (Q5863642) (← links)
- Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications (Q6108335) (← links)
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation (Q6138232) (← links)
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes (Q6580717) (← links)
- Statistical inference for rough volatility: central limit theorems (Q6591582) (← links)
- The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models (Q6626222) (← links)
- Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility (Q6641048) (← links)
