A semiparametric stochastic volatility model
In this paper the correlation structure in the classical leverage stochastic volatility (SV) model is generalized based on a linear spline. In the new model the correlation between the return and volatility innovations is time varying and depends nonparametrically on the type of news arrived to the...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1347 https://ink.library.smu.edu.sg/context/soe_research/article/2346/viewcontent/SemiparametricStochasticVolatilityModel_2010.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |