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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2008
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| 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 |