A semiparametric stochastic volatility model

A semiparametric stochastic volatility model

This paper examines how volatility responds to return news in the context of stochastic volatility (SV) using a nonparametric method. The correlation structure in the classical leverage SV model is generalized based on a linear spline. In the new model the correlation between the return innovation a...

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Bibliographic Details
Main Author: YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
Leverage effect
Simulated maximum likelihood
Laplace approximation
Spline
Realized volatility
Econometrics
Statistics and Probability
Online Access:https://ink.library.smu.edu.sg/soe_research/1268
https://ink.library.smu.edu.sg/context/soe_research/article/2267/viewcontent/Semiparametric_Stochastic_Volatility_Model_2008.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1268
https://ink.library.smu.edu.sg/context/soe_research/article/2267/viewcontent/Semiparametric_Stochastic_Volatility_Model_2008.pdf

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