On Leverage in a Stochastic Volatility Model

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...

Full description

Saved in:
Bibliographic Details
Main Author: YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Bayes factors
Leverage effect
Markov chain Monte Carlo
Nonlinear state space models
Quasi maximum likelihood
Particle filter
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/837
https://ink.library.smu.edu.sg/context/soe_research/article/1836/viewcontent/SSRN_id527482.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/837
https://ink.library.smu.edu.sg/context/soe_research/article/1836/viewcontent/SSRN_id527482.pdf

Similar Items