A multivariate threshold stochastic volatility model
type: Item
instance of: scholarly article
title: A multivariate threshold stochastic volatility model
zbMATH Open document ID: 1151.91540
author: B. E. Eshmatov
published in: Mathematics and Computers in Simulation
publication date: 2008-12-17T00:00:00Z
full work available at URL: pmc7127604
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 5383091
zbMATH Keywords: dynamic correlation
zbMATH Keywords: finance
zbMATH Keywords: stochastic volatility
zbMATH Keywords: threshold nonlinearity
zbMATH Keywords: volatility asymmetry
MaRDI profile type: Publication
OpenAlex ID: W1988861049
Wikidata QID: Q91906239
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DBLP publication ID: journals/mcs/SoC08
DOI: 10.1016/J.MATCOM.2007.12.003
description: scientific article; zbMATH DE number 5383091