A triple-threshold leverage stochastic volatility model (Q2687884)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A triple-threshold leverage stochastic volatility model |
scientific article |
Statements
A triple-threshold leverage stochastic volatility model (English)
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7 March 2023
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asymmetry
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efficient importance sampling
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leverage effect
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stochastic volatility
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threshold effect
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value at risk
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