The reactive volatility model

DOI10.1080/14697688.2013.797594zbMath1284.91430arXiv1209.5190OpenAlexW3123354856MaRDI QIDQ2871420

Qian Liu, Sofiane Aboura, Denis S. Grebenkov, Sebastien Valeyre

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.5190

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82)

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Cites Work

• Stochastic volatility and stochastic leverage
• The extremogram: a correlogram for extreme events
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Theory of Financial Risk and Derivative Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• More stylized facts of financial markets: leverage effect and downside correlations

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