On Leverage in a Stochastic Volatility Model

This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the ot...

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Bibliographic Details
Main Author: YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/786
https://ink.library.smu.edu.sg/context/soe_research/article/1785/viewcontent/jprcom4.pdf
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Institution: Singapore Management University
Language: English