Parameter estimation and applications for stochastic volatility model with time-varying leverage effect (Q6592370)
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scientific article; zbMATH DE number 7901045
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parameter estimation and applications for stochastic volatility model with time-varying leverage effect |
scientific article; zbMATH DE number 7901045 |
Statements
Parameter estimation and applications for stochastic volatility model with time-varying leverage effect (English)
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26 August 2024
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semiparametric stochastic volatility model
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linear spline
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time-varying leverage effect
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Bayesian MCMC method
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