Triple regime stochastic volatility model with threshold and leverage effects

Heejoon Han, Eunhee Lee

Year of publication:	2020
Authors:	Han, Heejoon ; Lee, Eunhee
Published in:	The Korean economic review. - Seoul : KEA, ISSN 0254-3737, ZDB-ID 1385036-2. - Vol. 36.2020, 2, p. 481-509
Subject:	Stochastic Volatility Model \| Leverage Effect \| Threshold Effect \| MultipleRegime \| MCMC \| Gibbs Sampling \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| Monte-Carlo-Simulation \| Monte Carlo simulation \| ARCH-Modell \| ARCH model

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