Related Books
Language: en
Pages:
Pages:
Type: BOOK - Published: 2006 - Publisher:
Linear filtering techniques are used to develop a quasi maximum likelihood estimator for asymmetric stochastic volatility models. The estimator is straightforwa
Language: en
Pages: 20
Pages: 20
Type: BOOK - Published: 2005 - Publisher:
Language: en
Pages: 0
Pages: 0
Type: BOOK - Published: 2023 - Publisher:
This paper considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We a
Language: en
Pages: 56
Pages: 56
Type: BOOK - Published: 2016 - Publisher:
In this paper, we derive the statistical properties of a general family of Stochastic Volatility (SV) models with leverage effect which capture the dynamic evol
Language: en
Pages: 150
Pages: 150
Type: BOOK - Published: 2010 - Publisher: Rozenberg Publishers