A semiparametric stochastic volatility model

• 主要作者: YU, Jun
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2008
• 主題: Leverage effect; Simulated maximum likelihood; Laplace approximation; Spline; Realized volatility; Econometrics; Statistics and Probability
• 在線閱讀: 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
• 機構: Singapore Management University

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...