A multivariate threshold stochastic volatility model (Q960327)
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scientific article; zbMATH DE number 5383091
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multivariate threshold stochastic volatility model |
scientific article; zbMATH DE number 5383091 |
Statements
A multivariate threshold stochastic volatility model (English)
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17 December 2008
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dynamic correlation
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finance
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stochastic volatility
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threshold nonlinearity
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volatility asymmetry
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