On Leverage in a Stochastic Volatility Model

• المؤلف الرئيسي: YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2004
• الموضوعات: Bayes factors; Leverage effect; Markov chain Monte Carlo; Nonlinear state space models; Quasi maximum likelihood; Particle filter; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/837; https://ink.library.smu.edu.sg/context/soe_research/article/1836/viewcontent/SSRN_id527482.pdf
• المؤسسة: Singapore Management University

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...