The following pages link to Time-varying leverage effects (Q527980):
Displaying 39 items.
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- The leverage effect puzzle: the case of European sovereign credit default swap market (Q345723) (← links)
- Time-varying jump tails (Q473227) (← links)
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
- A semiparametric stochastic volatility model (Q738174) (← links)
- Leverage effect for volatility with generalized Laplace error (Q1650531) (← links)
- The jump size distribution of the commodity spot price and its effect on futures and option prices (Q1667549) (← links)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
- Testing for jumps and jump intensity path dependence (Q1753059) (← links)
- The impact of the leverage effect on the implied volatility smile: evidence for the German option market (Q2047035) (← links)
- Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
- Forecasting volatility with time-varying coefficient regressions (Q2187983) (← links)
- The leverage effect puzzle revisited: identification in discrete time (Q2190223) (← links)
- Horizon-unbiased investment with ambiguity (Q2191465) (← links)
- Change point detection for nonparametric regression under strongly mixing process (Q2208376) (← links)
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options (Q2239273) (← 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)
- A new method for testing leverage effect (Q3307475) (← 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)
- Leverage effect breakdowns and flight from risky assets (Q4683103) (← links)
- Detecting volatility persistence in GARCH models in the presence of the leverage effect (Q5247941) (← links)
- A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680) (← 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)
- Estimation of Leverage Effect: Kernel Function and Efficiency (Q6190703) (← 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)
