A triple-threshold leverage stochastic volatility model

DOI10.1515/snde-2014-0044zbMath1506.62421OpenAlexW2274775413MaRDI QIDQ2687884

Hai-Lin Zhou, Xin-Yu Wu

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

zbMATH Keywords

asymmetrystochastic volatilityleverage effectvalue at riskthreshold effectefficient importance sampling

Mathematics Subject Classification ID

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)

Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution ⋮ Asymmetry in stochastic volatility models with threshold and time-dependent correlation ⋮ Data cloning estimation for asymmetric stochastic volatility models

Cites Work

• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
• Efficient high-dimensional importance sampling
• Testing the assumptions behind importance sampling
• A semiparametric stochastic volatility model
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Spectral GMM estimation of continuous-time processes
• Generalized autoregressive conditional heteroscedasticity
• ARCH models as diffusion approximations
• Asymmetry in Stochastic Volatility Models: Threshold or Correlation?
• Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
• Estimation of affine asset pricing models using the empirical characteristic function

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