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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| المؤلف الرئيسي: | |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2004
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/838 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=527482 |
| الوسوم: |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |