A triple-threshold leverage stochastic volatility model
Xin-Yu Wu and Hai-Lin Zhou
| Year of publication: |
2015
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|---|---|
| Authors: | Wu, Xin-Yu ; Zhou, Hai-Lin |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 19.2015, 4, p. 483-500
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| Subject: | asymmetry | efficient importance sampling | leverage effect | stochastic volatility | threshold effect | Value at Risk | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Risikomaß | Risk measure | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Kapitalstruktur | Capital structure | ARCH-Modell | ARCH model | Stichprobenerhebung | Sampling | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation |