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The leverage effect puzzle revisited: identification in discrete time - MaRDI portal

The leverage effect puzzle revisited: identification in discrete time (Q2190223)

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The leverage effect puzzle revisited: identification in discrete time
scientific article

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    title
    The leverage effect puzzle revisited: identification in discrete time (English)
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    author
    Hyojin Han
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    Stanislav Khrapov
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    Eric Renault
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    publication date
    18 June 2020
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    Mathematics Subject Classification ID
    91G20
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    62P05
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    62M10
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    91B84
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    zbMATH DE Number
    7213049
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    zbMATH Keywords
    stochastic volatility
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    leverage effect
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    volatility risk premium
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    identification
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    affine pricing models
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    OpenAlex ID
    W3002490637
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    Wikidata QID
    Q126303107
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