A triple-threshold leverage stochastic volatility model
DOI10.1515/snde-2014-0044zbMath1506.62421OpenAlexW2274775413MaRDI QIDQ2687884
Publication date: 7 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2014-0044
asymmetrystochastic volatilityleverage effectvalue at riskthreshold effectefficient importance sampling
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70)
Related Items (3)
Cites Work
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