Research Report
Language: en
Pages:

Research Report

Authors:
Categories:
Type: BOOK - Published: 1998 - Publisher:

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Incorporation of a Leverage Effect in a Stochastic Volatility Model
Language: en
Pages: 18

Incorporation of a Leverage Effect in a Stochastic Volatility Model

Authors: Ole Eiler Barndorff-Nielsen
Categories:
Type: BOOK - Published: 1998 - Publisher:

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A Stochastic Volatility Model with Leverage Effect and Regime Switching
Language: en
Pages: 125

A Stochastic Volatility Model with Leverage Effect and Regime Switching

Authors: Hong Jiang
Categories: Asset-liability management
Type: BOOK - Published: 2014 - Publisher:

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Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model
Language: en
Pages: 26

Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model

Authors: Dinghai Xu
Categories:
Type: BOOK - Published: 2010 - Publisher:

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Stochastic Volatility and Realized Stochastic Volatility Models
Language: en
Pages: 120

Stochastic Volatility and Realized Stochastic Volatility Models

Authors: Makoto Takahashi
Categories: Business & Economics
Type: BOOK - Published: 2023-04-18 - Publisher: Springer Nature

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This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for esti