Volatility modeling with leverage effect under Laplace errors

DOI10.1515/JTSE-2016-0019MaRDI QIDQ1695695zbMATH OpenOpenAlexFDO

Authors Zhengjun Jiang, Weixuan Xia

Publication date 7 February 2018

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jtse-2016-0019

zbMATH Keywords

volatilityLaplace distributionleverage effectfinancial returnsGARCH-type models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Analysis of Financial Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian causal effects in quantiles: accounting for heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Elements of financial risk management.
• Generalized autoregressive conditional heteroscedasticity

Cited in

(5)

• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
• On leverage in a stochastic volatility model
• Leverage effect for volatility with generalized Laplace error
• scientific article; zbMATH DE number 1865385 (Why is no real title available?)
• The impact of jumps and leverage in forecasting covolatility

Describes a project that uses

Uses Software

• Mathematica
• FinTS

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