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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013273019